This includes Windows 11, Windows 10, Windows 8, etc.
There are a number of reasons whydownloading DLLs like that is never a good idea.
If you already have, remove it from wherever you put it and continue with the following steps.

cycle your computerif you haven’t yet done so.
It’s unlikely this will fix the problem, but restarting is always a good first troubleshooting step.
set up the latest version of Microsoft DirectX.
Chances are, upgrading to the latest version will fix the d3dx9_30.dll not found error.
Uninstall the game or software program and then reinstall it again.
Restore the d3dx9_30.dll file from the latest DirectX package.
Update the driversfor your video card.
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The d3dx9_30.dll file is one of many files contained in the DirectX software collection.
The error typically appears when the software program is started.
Occasionally, these errors will display after a game is loaded but right before gameplay begins.
In non-game applications, the oops message might appear before certain advanced graphics features of the program are used.