1>Compiling...
1>ade32.cpp
1>c:\documents and settings\965-ahci\desktop\new folder\stdafx.h(11) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory
1>deadhellbase.cpp
1>c:\documents and settings\965-ahci\desktop\new folder\stdafx.h(11) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory
1>deadhellfont.cpp
1>c:\documents and settings\965-ahci\desktop\new folder\deadhellfont.cpp(12) : fatal error C1083: Cannot open include file: 'D3DX9.h': No such file or directory
1>deadhellmenu.cpp
1>c:\documents and settings\965-ahci\desktop\new folder\stdafx.h(11) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory
1>deadhellsound.cpp
1>c:\documents and settings\965-ahci\desktop\new folder\stdafx.h(11) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory
1>Generating Code...
1>Build log was saved at "file://c:\Documents and Settings\965-AHCI\My Documents\Visual Studio 2008\Projects\f\f\Debug\BuildLog.htm"
1>f - 5 error(s), 0 warning(s)
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========
You need to have all of your include files in the same directory as your main program.
Um, no. No you don't. It would be ridiculous to program like that, as every time you wrote a program, you'd have to copy every standard or third-party header file you're using into the directory where your main program is.
All compilers will have a way to specify an include path. This means a list of directories where the compiler should look for the header files you're using. You simply need to figure out where the "missing" header files are, and add that directory to the include path.
It sounds like the OP is using Visual Studio. You can set the include path in the project's Properties.