My computer has two "d3d9.dll"'s. One is under 'C:\I386', and the other is under 'C:\WINDOWS\SYSTEM32'. They're V.5.3.0.900/1.55MB and V.5.3.1.904/1.62MB, respectively. I'd do research into what they are before you tamper with your computer. If you're willing to take the risk, which I don't recommend (but would probably do myself), you may be able to copy it to both folders (should you have a 'C:\I386' or similar). In no case would I have it overwrite an existing file of the same name.
Additionally, they're both files of 'Microsoft Direct3D', so I'd recommend going to mircosoft.com to check out their downloading department for a version of this file.
If you still need help, when replying, give us the general information you know about your computer, especially operating system (such as "Windows XP", and, if a Windows-type OS, the service pack number or/and version number, if you can find them).