My computer is showing messages to d3dx9_43 dll download whenever I try to play any games on it. I do not understand what this file is and therefore I do not know whether to download it or not. Should I download it?
If your computer shows any dll missing error, then you need to download this. DLL files are shared files and are not associated with the program that originally installed it on your computer.
What you need to do is download the d3dx9_43 dll download file from the internet and then place it in the syswow32 folder. Restart your computer and you are good to go. This error will no longer trouble you. I must strongly advise you to download files from websites you trust as it carries the risk of catching some viruses or malware. Do not download anything if you do not have an antivirus.
