Ok, I installed DirectX June 2010 on a new folder and executed DXSETUP.exe inside it. Tried to run it again, getting the same exact returning message. Honestly I dont really know if this is what I was supposed to do, as you only gave me an image of a post and not a link to it. But I checked the D3DX9.dll and it was on system32.
Sorry if I’m unable to answer you today, it’s getting late in my country. Thanks for the support!
Edit: just in case it helps, this is the file I downloaded from Microsoft Download Center.