What seal said. Add the files manually in your VC++ project.
Are you sure you made the menu?²
Add the SDK folders to VC++ Directories.
Soory about my"" this is a base by friend.....
Right Click your project, go to properties, then C/C++, then on that window you'll see "Additional Include Directories" click that and find the folder where your d3d9x.h is located. That fixed it for me.