I found the file "D3DX9_32.DLL" when I followed the path from Firaxis website www.firaxis.com/support.
Choose at the left side of the page: "Classic Firaxis - Sid Meier`s Civilization IV: Warlords".
Choose "Start-up Help". Follow the instructions under "Solutions".
Choose at the left side of the page: "Classic Firaxis - Sid Meier`s Civilization IV: Warlords".
Choose "Start-up Help". Follow the instructions under "Solutions".