From TDN

Step Two - Install the October 2006 DirectX SDK

Start by navigating to: http://www.microsoft.com/downloads/details.aspx?FamilyId=D625324C-59B4-4951-849E-640B508DC442&displaylang=en

Download the massive (500MB+) file.

Once that is complete, start the installer:

Accept the license agreement:

Set up the features (default settings should be fine):

Wait out the install:

Done!

Set up DX Debug Libs (For Advanced Users)

After you have set up the DXSDK, you can set up Direct3D to use the "Debug Runtime", which will give extra warnings in your output window when running Visual Studio. This is very useful if you are doing graphics programming. If you are a casual user and aren't planning on getting deep into graphics programming, skip this step.

Keep in mind that running on the Debug Runtime will slightly decrease performance, but can be turned on and off at any time through the DirectX Control Panel.

From the Windows Start Menu, go to Microsoft DirectX SDK (October 2006) / DirectX Utilities / DirectX Control Panel.

Open it up and change the settings to look like this:

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Onward to Step Three, Windows SDK installation: TGEA/InstallVS2005/StepThree

Back to Step One, Visual Studio C++ installation: TGEA/InstallVS2005/StepOne