Vielleicht hilft ja das Handbuch?

"For supporting older DirectX9 versions on the target machines, either provide a DirectX setup with your installation program, or include the d3dx9_42.dll and - if shaders are used - also d3dcompiler_42.dll. Both files can be found in the Gamestudio folder."

http://manual.3dgamestudio.net/wed_publish.htm