ZMan's crazy, don't listen to him. :) (hey ZMan, long time no see. still can't get em to put the old forum back. at least kill this one cause its making the main DX9 dev forums look sad with their un-use. ;) ) Anyhow, I had the same problem you had. The problem is that they don't have a specific dx9 dll that gets installed with i'm assuming is the SDK. Goto C:\Windows\System32. Do a "dir d3dx*.dll /s" at the command prompt with cmd.exe. You'll notice a ton of d3dx_##.dll files. Here's my list for reference:
Microsoft Windows [Version 6.0.6000]
Copyright (c) 2006 Microsoft Corporation. All rights reserved.
C:\Windows\system32>dir d3dx*.dll /s
Directory of C:\Windows\system32
11/29/2006 01:06 PM 440,080 d3dx10.dll
10/02/2007 09:55 AM 487,784 D3DX10d_36.dll
03/15/2007 04:57 PM 443,752 d3dx10_33.dll
05/16/2007 04:45 PM 443,752 d3dx10_34.dll
07/19/2007 06:14 PM 444,776 d3dx10_35.dll
10/02/2007 09:56 AM 444,776 d3dx10_36.dll
10/02/2007 09:55 AM 3,799,400 d3dx9d_33.dll
10/12/2007 03:13 PM 3,896,336 D3DX9d_36.dll
02/05/2005 07:45 PM 2,222,800 d3dx9_24.dll
03/18/2005 05:19 PM 2,337,488 d3dx9_25.dll
05/26/2005 03:34 PM 2,297,552 d3dx9_26.dll
07/22/2005 07:59 PM 2,319,568 d3dx9_27.dll
12/05/2005 06:09 PM 2,323,664 d3dx9_28.dll
02/03/2006 08:43 AM 2,332,368 d3dx9_29.dll
03/31/2006 12:40 PM 2,388,176 d3dx9_30.dll
09/28/2006 04:05 PM 2,414,360 d3dx9_31.dll
11/29/2006 01:06 PM 3,426,072 d3dx9_32.dll
03/12/2007 04:42 PM 3,495,784 d3dx9_33.dll
05/16/2007 04:45 PM 3,497,832 d3dx9_34.dll
07/19/2007 06:14 PM 3,727,720 d3dx9_35.dll
10/12/2007 03:14 PM 3,734,536 d3dx9_36.dll
11/02/2006 04:46 AM 53,248 d3dxof.dll
22 File(s) 46,971,824 bytes
Total Files Listed:
22 File(s) 46,971,824 bytes
0 Dir(s) 39,685,636,096 bytes free
C:\Windows\system32>
As you can see, there seems to be a new dll with every SDK revision. A very messy system in my opinion. Ingenious if you want to force developers to spread the DX install to all people. Get them to clean that implementation up if you can ZMan. :) So, just make sure they have the latest d3d9_##.dll you have and put it in the same directory as your executable. That should solve the problem. If not, go with ZMan's advice. Hope that helps.
ps. beware installers. i've worked with InstallShield, and its good, but do you really want to risk polluting a potential employers machine showing off your elite code if it doesn't go "right" and "breaks" their machine? just something to think about.