my 2cents
I run vista as well and everything went off without a hitch the first time around but to my knowledge i dont have dx10 at all.
The error is telling you EXACTLY what is wrong...
Google d3dx9.h for a download
figure out where it needs to be
put it there..
I googled it for you and found this
http://www.daniweb.com/forums/thread105507.html#
A post on daniweb inwhich somone suffered the same issue.
If that doesn't work you could try to reinstall the SDK and just hit next next next etc ( do not choose custom directory )
Did you use the links provided on the install page for the gdk on this site? maybe you accidently downloaded the wrong version while thinking you had the correct version
EYE R T3H +ick +ack +oe mester