I found this blog giving a step-by-step tutorial on how to get Direct 9.0c installed on your Linux box. Worthy of a look I say!
Microsoft DirectX is a collection of application programming interfaces for handling tasks related to multimedia, especially game programming and video, on Microsoft platforms. Originally, the names of these APIs all began with Direct, such as Direct3D, DirectDraw, DirectMusic, DirectPlay, DirectSound, and so forth. DirectX, then, was the generic term for all of these Direct-something APIs, and that term became the name of the collection. Over the intervening years, some of these APIs have been deprecated and replaced, so that this naming convention is no longer absolute. In fact, the X has caught on to the point that it has replaced Direct as the common part in the names of new DirectX technologies, including XAct, XInput, and so forth.