Its a dll for direct3d from directx8.
Just like Caelen said...-> what version of dx do you have? ->have you tried reinstalling?
to add something:
If it is about a low end system (lets say around 1000 mhz), I would stick to directx8.1.
Otherwise i would stick to directx8.1 as well
(but you don't have to)
From what i have seen, is that the performance on low end systems really drops with directx9. And on most 'turbo-puters' it gains performance.
ps.
Try to run dxdiag first to see if your directx is working correctly.
Run the tests, and you can see there what version you are running