Your user will need to have DirectX 9.0c installed, which can be confusing for non-techie folks.
I have found the best way to go about this is to use somthing like
NSIS (Nullsoft Scriptable Install System) and use that to bundle together your DBP project and the installer for DX9.0c.
That way, the installer can run the DX setup and the user will be happier with a more normal installation procedure.
As for anything else, as long as you don't try and write to a protected area of the hard drive, you should be ok. Microsoft have some rules about where it's ok to save stuff but as a rule of thumb (and as I can't find the exact details right now) you should save your data in the c:\users\ folder.