You probably came to this page because of an error related to the absence of a D3dx9_42.dll file in your system. This file is a DLL from Microsoft's Direct3D 9 Extensions (D3DX) library, which contains helper functions used to develop and run games and programs. First, let's take a look at how to solve the problem and then talk a little bit about the contents of this DLL.
A versatile solution
The first and most obvious solution to this problem is to install the DirectX End-User Runtime, as this file is part of this package. You can download the DirectX distribution from our website. If DirectX is already present on your computer - just run the installer anyway, you don't need to uninstall anything: it only adds the missing D3DX files and does not replace the DirectX version built into Windows. By installing the runtime you can solve not only this problem, but also potential problems in the future, because the game (or program) may need not only D3dx9_42.dll, but also other files from this distribution.
D3dx9_42.dll provides the Direct3D helper functions that many DirectX 9 games need to start and run correctly.
An alternative, additional solution
Here we will cover manual copying of the file to the required folders. If you've thought about this option from the beginning, you'd better start by taking the first advice. If you still need to add this file to the system manually, download it from this page and use the instructions inside the archive. Copy the file into the folder of the game that shows the error, or into the Windows system folder (System32 for the 64-bit file, SysWOW64 for the 32-bit file on 64-bit Windows). This library does not need to be registered with regsvr32.
For the record:
D3dx9_42.dll carries the file description "Direct3D 9 Extensions" and version 9.27.952.3001, and it first shipped with the DirectX SDK of August 2009. Its functions serve such tasks as drawing lines, forming geometry of objects, mathematical calculation of various graphical parameters, texture processing, etc. From this, it becomes clear why so many games need this DLL-library.