right now i don't think it exports the correct dx update
It doesn't export any DirectX update.
You can just put d3dx9_39.dll in the same folder as the EXE and it should work without any updates - however, if you use XAudio2, you need other DirectX files, so go for the installer/dxwebsetup thing.
FYI the error message directs the user to this page, where the very first thing listed is what they need to install.