Typically, newly released games no longer use optional files from DirectX 9, but any game released before Direct X 11 became the norm might trigger the “d3dx9_39.dll is missing” error. Note: Keep in mind that the list doesn’t stop here. Here’s a shortlist of games that are known to trigger d3dx9_39.dll errors: Although this particular error can theoretically apply to every type of application, video games are by far the biggest software types that utilize this particular DLL file ( d3dx9_39.dll).