It's not a critical update. It should be in the section for optional windows updates. DirectX 9b should be the latest version.
it also helps to list your computer specs (CPU Speed, Amount of RAM, Video card) aside from the Operating system, should you know them.
I think with WinXP directX should not be the problem as it ships with DirectX 8. It's only a problem with Windows versions pre XP, as far as I know