Here it goes:

I am getting one device-lost after another. I know how to handle it, but it still hurts.

First, there is a few-seconds-long scene and input freeze, then all the screen (not only the device display window) goes black, then device lost occurs and the scene is rebuilt (by my application). The thing is - it is happens soon after the application is loaded and then simply goes periodic.

 The same app run on a different machine does NOT behave like that.

 I guess this could be virtually anything, but I thought it's worth trying to pick your brains on this one - maybe it is obvious.

 So the question bails down to - what could it be, that "steals" the device from my application so often. I don't run anything particularly resource-hungry in the background, just regular stuff.

 Any ideas?

It seems that you are running a windowed app, so right there you introduce a factor that can often cause lost devices (other windows vying for focus, etc.) I would try making your window "topmost" and any other property you can find that would keep other apps from trying to take focus away from your window so that you eliminate that as a culprit.

Then I would suggest monitoring your memory usage and making sure you error check your code heavily to make sure it is not some sort of failure when creating or requesting a device property or resource. It could be that your code runs perfectly on another machine because the video drivers happen to handle certain failures without screwing up, but it fails on yours because it does not have such error handling. That is actually a common thing, especially between card brand names in DirectX 9. I have had this happen to me several times where an Nvidia card will display something with errors correctly and an ATI card would simply shut down.

Hm, seems feasible since the code was hurried into existence and is quite messy, I'll see to it and - if successful - post a comment here.

Thanks for your time!