To read more about it and obtain the update please go here:
Click the Download button on this page to start the download, or choose a different language from the drop-down list and click Go.
Do one of the following:
To start the installation immediately, click Open or Run this program from its current location.
To copy the download to your computer for installation at a later time, click Save or Save this program to disk.
The DirectX end-user installation includes the D3DX, HLSL Compiler, XInput, XAudio, and Managed DirectX 1.1 components.
Note that the DirectX Runtime (Direct3D, DirectInput, DirectSound) is not part of this package as it is included as part of the Windows operating system, and therefore cannot be installed or uninstalled. Updating the DirectX Runtime is achieved by installing the latest Service Pack or obtaining a newer version of Windows.
For information on obtaining DirectX 11 for Windows Vista or Windows Server 2008, see Microsoft Knowledge Base article 971644.
The DirectX End-User Runtimes installer contains all of the components installed by the Web Installer in a single package and is recommended for those users that do not have an Internet connection during installation.
Additional help can be found here: http://support.microsoft.com/kb/179113