It is my understanding that Microsoft has deliberately left out this absolutely tiny thing that allows older games to run. The purpose of this self-sabotage is to annoy developers, to "encourage" them to move onto DirectX 10 or later, so they make games which will not work on other operating systems.
However, they could not get away with breaking backward compatibility completely, so they do provide the download to fix their own sabotage.
We have a special LFS web page pointing to that download. That window that popped up, should have given you a link to install the runtime. But here it is anyway:
https://www.lfs.net/dx9 which links to the MS site.
It is a Microsoft install so it is really safe, it's just correcting what they deliberately broke.