Sandave,
In addition to Yewanchor's good information.....
Be aware that if you upgraded an older computer to Windows XP, and you're using an older video card, the newest DirectX 9b may cause issues. You may want to stay with the current version, yet get the most recent patch for it at the Windows Update site. If you've got a new machine, DirectX 9b shouldn't have a problem.
Are you sure you don't already have the latest version? Click on "Start-Run, type dxdiag, then click on OK. The DirectX diagnostic tool will load and at the bottom of the page will be the version number.
If need be, here's a direct link to the "DirectX 9b" download site:
DirectX 9.0b End-User Runtime
Hope this helps, too.
Grif