Any Microsoft operating system since Windows 98 can be affected by d3dx9_39.dll and other DirectX issues. This includes Windows 11, Windows 10, etc.
d3dx9_39.dll Missing Error | How to Fix | 2 Solutions | 2021
Follow these steps in the order they are listed below to try the simpler solutions first.
Restart your computer if you haven't already. The error could be a fluke and a simple restart could fix it completely.
Install the latest version of Microsoft DirectX. There is a good chance that upgrading to the latest version of DirectX will resolve the "not found" error.