I've seen a lot of Microsoft's DirectX releases through these years. Actually I'm working with version 9 right now and I read in a book that the October 2006 is one of the best version 9's releases. Though, there are newer and updated version 9's SDK and I don't know which of them is really the most clean and bug-free.
closed as off topic by Byte56, Josh Petrie, Roy T., Patrick Hughes, Jonathan Hobbs Jun 16 '12 at 0:57
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You should use the latest (non-beta) version of the SDK (which is the June 2010 SDK as of this writing). It will be the most well-supported.
Really, the only reason to use an older release of the SDK is if you are working on maintaining a legacy project that has a dependency on a technology that has been deprecated, such as DirectPlay.
Agreed, the latest release of the SDK is generally the best one to use, but there are other considerations.
From sometime in 2004 (IIRC) onwards the D3DX stuff moved from being statically linked to dynamically linked. In order to handle this, the player needs a version of D3D that is up to date. In a fit of ingenuity, MS didn't include these up to date versions with either Windows Vista or 7 - I've personally been in a position where people have said "I've D3D11, I'm up to date" but yet don't have the up to date D3DX DLLs for 9. That sucks (and is actually quite difficult to explain to someone).
What sucks even more about this is that certain "power user" (i.e. - someone who has just about enough knowledge for it to be a dangerous thing) websites provide direct downloads of individual DLLs, so people grab these rather than running the proper installer from MS. Cue random and mysterious crashes.
So, in summary, for 9 you have 2 options. Either use use the latest version (and tell people to update their DX install - even if they think it's already up to date), or backtrack all the way to 2004 or thereabouts when D3DX was statically linked and none of this was a problem.