Melusine4: I tried this, followed the instructions (moved it to my system32 folder) and I get a message asking if I want to replace the file, I say yes and it says "please specify a different file name"). I also tried putting the file in the Consortium directory but that didn't help either.
Did you replace the file in the system32 directory? If not, I wonder if there's some issue with the one you have.
I'm really not sure otherwise. Uninstalling and reinstalling the game might do the trick, for whatever reason. You could reinstall DirectX anyway (even if it says that's not necessary).
It could be an issue with the game's installation, that particular d3d9.dll file, or perhaps with your video card driver.