I had this same problem yesterday
I had run into this same dilemma yesterday and after much trouble, finally got directx 9 to work in VB.Net. After I noticed this problem, I uninstalled DirectX 9 SDK, ran windows update to make sure everything was up-to-date (I recently rebuilt my machine and had not updated windows yet). I then rebooted my computer, logged in as Administrator and installed the DirectX 9.0a SDK. After this, everything worked properly. Im not sure which of these 3 steps fixed the problem, though Im wondering if it was making sure I was logged in as Administrator before installing the SDK. The documentation mentions this specifically as necessary for proper installation.