Do not, under any circumstances, download the d3dx9_35.dll DLL file individually from any "DLL download site." There are a number of different reasons that downloading DLLs from these sites are never a good idea.
Note: If you've already downloaded d3dx9_35.dll from one of those DLL download sites, remove it from wherever you put it and continue with the following steps.
Restart your computer if you haven't already done so.
The d3dx9_35.dll error might be a fluke or one-time issue and a restart could clear it up. It's unlikely this will fix the problem, but restarting is always a good first step.
Install the latest version of Microsoft DirectX 9. Chances are, upgrading to the latest version of DirectX 9 will fix the d3dx9_35.dll not found error.
Note: Microsoft often releases updates to DirectX 9 without updating the version number or letter so be sure to install the latest release even if your version is technically the same.
Note: Are you a Windows Vista user with DirectX 10? Your game or program may still need DirectX 9 files to run properly so give the installation a try. Don't worry, both versions of DirectX can be run simultaneously in Windows Vista.
Assuming the latest DirectX version from Microsoft doesn't fix the d3dx9_35.dll error you're receiving, look for a DirectX 9 installation program on your game or application CD or DVD. Usually, if a game or other program utilizes DirectX, the software developers will include a copy of DirectX 9 on the installation disc.
Sometimes, though not often, the DirectX version included on the disc is a better fit for the program than the latest version available online.
Uninstall the game or software program and then reinstall it again. There may be an issue with the files in the game or program that work with d3dx9_35.dll and a reinstall could do the trick.
Restore the d3dx9_35.dll file from the DirectX 9 software package. If the above troubleshooting steps haven't worked to solve your d3dx9_35.dll error, try extracting the d3dx9_35.dll individually from the DirectX 9 package.
Update the drivers for your video card. While it's not the most common solution, in some situations updating the drivers for the video card in your computer could correct this DirectX issue.