Thanks Zio, and Orange Brat.

Sorry for inconvinience.
CEGUI's compiled with DX9.0c Aug or Oct 2005 (I think).
So it depends on D3DX9_27.DLL, and D3DX9D_27.DLL (debug version).
I've the debug DLL for you, could you please put it into "ex1" directory, and run the example again.

http://centillex.com/files/d3dx9d_27.zip

I'll re-pack the setup ASAP.