DirectX Library Linkning Problem

I am just learning how to use DirectX in my programs, and I am using Dev C++ as my IDE. I was having no problems until the book I'm reading told me I had to #include a certain DirectX file, <d3dx9.h>. This file makes Dev go crazy for some reason, giving all kinds of errors that makes it seem it has already been included. It gives errors like:

In File Included From...
Redefinition of...
Conflicting Declaration...
Previous Definition...

The book I'm reading with this code, "Beginning Game Programming", says to #include this file and add it to the linker in the project options. I did that, and the other DirectX file, <d3d9.h>, is #included and its in the linker and it is fine, I've used it in the program before this one with no problems.

So its like its complaining that I've already included <d3dx9.h> before. But if I don't #include <d3dx9.h>, it gives me errors like Undeclared Identifier, etc.

What do I need to do?
Make sure you have the right header paths.

My number one piece of advice: Use a real IDE (*cough* Visual C++ Express 2008 *cough*)
What exactly do you mean the right header paths? I am pointing to the specific files by going through a directory, not just typing in the filename.

And as far as using Visual C++, I have heard many terrible stories of Visual C++ and I've had many problems with Visual C++ myself, not conforming to the ISO standard C++ and not being able to do certain things... I was even taught in college that whatever you do, don't get tangled up with Microsoft's compilers, especially the MFC, its not real C++ no matter how much they want to make us believe it is...

So I'm trying to use Dev to learn to make games with DirectX.

That being said, this problem I'm having probably is a Dev problem, not linking the DirectX libraries properly, but it should have a solution. I have heard that Dev needs .a files, not .lib files... But I have tried linking to both of those types of files. Same exact problem.
Lol, if you are programming with DirectX use VC++. I don't know what kind of stories you've heard about VC++ (maybe VC++ 6) but I assure you there are many more when you look at dev-c++.

DirectX is pretty much as platform dependent as you get. I do hope you get help on this though. I have to admit I don't know the solution as I don't use dev-c++. I was just thinking the bet would be to check the project properties, and header file directories so you can correctly #include <>.
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