Any Microsoft operating system since Windows 98 can be affected by d3dx9_40.dll and other DirectX issues. This includes Windows 11, Windows 10, Windows 8, etc.
How to Fix The Program Cannot Start d3dx9_40.dll is Missing/Not Found Error Win 10/11/7 32/64 bit
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 d3dx9_40.dll error may be a fluke and a simple restart may fix it completely.
Install the latest version of Microsoft DirectX. This will most likely fix the "d3dx9_40.dll not found" error.