I downloaded snes9x onto my laptop (to the desktop of my laptop). I have the application file and the faq-windows file, the snes9x license file, the readme-windows file, all on my desktop. When I try to activate the snes9x file, I get this message:

The code execution cannot proceed because d3dx1_92.dll was not found. Try reinstalling.

Only I'm confused. I didn't "install" snes9x. I unzipped it.
What does this mean? Have I done anything wrong? Thanks in advance.