Visual Studio Include Error [Help]

Well in visual studio I have this error which I'm not too sure how to solve. When I try and include d3dx9.h to my code it says "Error: cannot open source file". Does anyone know how to fix this? I have already installed SKD, so that isn't the problem either.

Include the file with the file path?

You can either include the source directory in the Solution, or do #include <filepath\d3d9.h>