System Error dll file missing

Hello,
I am mostly into games, on my newly purchased Windows Vista Ultimate machine. I found a strange error message popping up when I trying to play a particular game, which I downloaded from web.
I downloaded the game successfully and applied all the available updates for the game. Now when I try to click on play, to start my game, it gives me an error message
The program can’t start because d3dx9_30.dl is missing from your computer. Try reinstalling the program to fix this problem
Now I don’t know where I can download this particular .dll file. Does anyone know where we can download the latest version of this .dll file so I can start playing my game?
