I had the same problem (looked all over the place online to no avail, and did multiple reinstalls), but I think Ive found a decent work around. Note that I am working in Win2k.
What I did was take those Microsoft.DirectX.*.dlls that you know about from the previous posts (the ones in DirectX.cab) and put them in my "C:\WINNT\Microsoft.NET\Managed DirectX\v4.09.00.0900" folder (so now theres a bunch of xml files and their associated dlls). Then I used regedit.exe to add this folder to the default reference path list (or whatever its calld) by following these steps:
1. In Windows, click the Start button, click Run, then type regedit to open the Registry Editor.
2. Select the registry key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\VisualStudio\7.0\AssemblyFolders
3. On the Edit menu, point to New, then click Key.
4. Enter a name for the key (for example, DirectXAssemblies).
5. Select the (Default) value for the key that you just added.
6. On the Edit menu, choose Modify.
7. In the Edit String dialog box, select the Value data field and enter the full path to the folder where your assemblies are located (e.g. C:\WINNT\Microsoft.NET\Managed DirectX\v4.09.00.0900).
Now startup Visual Studio .Net (close it if it was opened while you made these changes) and everything _should_ work (try some of the samples that come with DirectX in order to test it out). It worked well enough for me.
These steps were modified from this webpage that I found, in case youre interested:
http://msdn.microsoft.com/library/d.../vbcon/html/vbtskAddingRemovingReferences.asp
Hope this helps!