I created a mini game with just the template Shooter_Project just to see how publishing to .exe worked, but when I tried to run the executable it just popped up with the message:

This application failed to start because d3dx9_30.dll was not found. Re-installing the application may fix this problem.

It does the same thing with the Venice and Warehouse demos from the download page. But the Crane physics demo from the goodies download worked. Please help.