Error: cannot open source file "d3dx9.h"?

I am obviously new to hacking and C++, so please don't flame me and tell me to learn C++ before doing any of this. I am currently reading the sections on LearnCPP.

My question is why every time I try to include d3dx9.h it says "Error: cannot open source file 'd3dx9.h'"? I am using Redux's Hotkey base.

This hack won't be released so again please don't call me a noob or anything for not making my own base. I don't know enough about Combat Arms hacks or C++ to do that yet. This is just for testing purposes.

@LostInTheDark If you have made a new project (and not used the solution Redux made), you need to include the DirectX SDK. (If you don't have it, you need to download and install it first).

I got Visual 2010 so if you have another version, it might be slightly different but should probably be about the same.

*Click project, then your projects properties. Choose configuration properties, then VC++ Directories
*On include directories, you need to add a new directory. On my machine it's something like c:\program files x86\Microsoft DirectX SDK June 2010\include
*On library directories, add the same path but Microsoft DirectX SDK\lib instead

Now it should compile properly.