В DirectX SDK июнь 2008 есть такой пример
//-----------------------------------------------------------------------------
// File: CreateDevice.cpp
//
// Desc: This is the first tutorial for using Direct3D. In this tutorial, all
//       we are doing is creating a Direct3D device and using it to clear the
//       window.
//
// Copyright © Microsoft Corporation. All rights reserved.
//-----------------------------------------------------------------------------
#include <d3d9.h>
#pragma warning( disable : 4996 ) // disable deprecated warning 
#include <strsafe.h>
#pragma warning( default : 4996 )




//-----------------------------------------------------------------------------
// Global variables
//-----------------------------------------------------------------------------
LPDIRECT3D9         g_pD3D = NULL; // Used to create the D3DDevice
LPDIRECT3DDEVICE9   g_pd3dDevice = NULL; // Our rendering device




//-----------------------------------------------------------------------------
// Name: InitD3D()
// Desc: Initializes Direct3D
//-----------------------------------------------------------------------------
HRESULT InitD3D( HWND hWnd )
{
    // Create the D3D object, which is needed to create the D3DDevice.
    if( NULL == ( g_pD3D = Direct3DCreate9( D3D_SDK_VERSION ) ) )
        return E_FAIL;

    // Set up the structure used to create the D3DDevice. Most parameters are
    // zeroed out. We set Windowed to TRUE, since we want to do D3D in a
    // window, and then set the SwapEffect to "discard", which is the most
    // efficient method of presenting the back buffer to the display.  And 
    // we request a back buffer format that matches the current desktop display 
    // format.
    D3DPRESENT_PARAMETERS d3dpp;
    ZeroMemory( &d3dpp, sizeof( d3dpp ) );
    d3dpp.Windowed = TRUE;
    d3dpp.SwapEffect = D3DSWAPEFFECT_DISCARD;
    d3dpp.BackBufferFormat = D3DFMT_UNKNOWN;

    // Create the Direct3D device. Here we are using the default adapter (most
    // systems only have one, unless they have multiple graphics hardware cards
    // installed) and requesting the HAL (which is saying we want the hardware
    // device rather than a software one). Software vertex processing is 
    // specified since we know it will work on all cards. On cards that support 
    // hardware vertex processing, though, we would see a big performance gain 
    // by specifying hardware vertex processing.
    if( FAILED( g_pD3D->CreateDevice( D3DADAPTER_DEFAULT, D3DDEVTYPE_HAL, hWnd,
                                      D3DCREATE_SOFTWARE_VERTEXPROCESSING,
                                      &d3dpp, &g_pd3dDevice ) ) )
    {
        return E_FAIL;
    }

    // Device state would normally be set here

    return S_OK;
}




//-----------------------------------------------------------------------------
// Name: Cleanup()
// Desc: Releases all previously initialized objects
//-----------------------------------------------------------------------------
VOID Cleanup()
{
    if( g_pd3dDevice != NULL )
        g_pd3dDevice->Release();

    if( g_pD3D != NULL )
        g_pD3D->Release();
}




//-----------------------------------------------------------------------------
// Name: Render()
// Desc: Draws the scene
//-----------------------------------------------------------------------------
VOID Render()
{
    if( NULL == g_pd3dDevice )
        return;

    // Clear the backbuffer to a blue color
    g_pd3dDevice->Clear( 0, NULL, D3DCLEAR_TARGET, D3DCOLOR_XRGB( 0, 0, 255 ), 1.0f, 0 );

    // Begin the scene
    if( SUCCEEDED( g_pd3dDevice->BeginScene() ) )
    {
        // Rendering of scene objects can happen here

        // End the scene
        g_pd3dDevice->EndScene();
    }

    // Present the backbuffer contents to the display
    g_pd3dDevice->Present( NULL, NULL, NULL, NULL );
}




//-----------------------------------------------------------------------------
// Name: MsgProc()
// Desc: The window's message handler
//-----------------------------------------------------------------------------
LRESULT WINAPI MsgProc( HWND hWnd, UINT msg, WPARAM wParam, LPARAM lParam )
{
    switch( msg )
    {
        case WM_DESTROY:
            Cleanup();
            PostQuitMessage( 0 );
            return 0;

        case WM_PAINT:
            Render();
            ValidateRect( hWnd, NULL );
            return 0;
    }

    return DefWindowProc( hWnd, msg, wParam, lParam );
}




//-----------------------------------------------------------------------------
// Name: wWinMain()
// Desc: The application's entry point
//-----------------------------------------------------------------------------
INT WINAPI wWinMain( HINSTANCE hInst, HINSTANCE, LPWSTR, INT )
{
    // Register the window class
    WNDCLASSEX wc =
    {
        sizeof( WNDCLASSEX ), CS_CLASSDC, MsgProc, 0L, 0L,
        GetModuleHandle( NULL ), NULL, NULL, NULL, NULL,
        L"D3D Tutorial", NULL
    };
    RegisterClassEx( &wc );

    // Create the application's window
    HWND hWnd = CreateWindow( L"D3D Tutorial", L"D3D Tutorial 01: CreateDevice",
                              WS_OVERLAPPEDWINDOW, 100, 100, 300, 300,
                              NULL, NULL, wc.hInstance, NULL );

    // Initialize Direct3D
    if( SUCCEEDED( InitD3D( hWnd ) ) )
    {
        // Show the window
        ShowWindow( hWnd, SW_SHOWDEFAULT );
        UpdateWindow( hWnd );

        // Enter the message loop
        MSG msg;
        while( GetMessage( &msg, NULL, 0, 0 ) )
        {
            TranslateMessage( &msg );
            DispatchMessage( &msg );
        }
    }

    UnregisterClass( L"D3D Tutorial", wc.hInstance );
    return 0;
}

Компилировал в Visual C++ 2008 -  выдаёт ошибку

CreateDevice.obj : error LNK2019: unresolved external symbol _Direct3DCreate9@4 referenced in function "long __cdecl InitD3D(struct HWND__ *)" (?InitD3D@@YAJPAUHWND__@@@Z)

Debug/CreateDevice.exe : fatal error LNK1120: 1 unresolved externals

Я вообще не понимаю что это может значить. Наверно связано со строчкой
if( NULL == ( g_pD3D = Direct3DCreate9( D3D_SDK_VERSION ) ) )

Хочется, чтобы хоть что-то наконец уже заработало, а всюду один облом. 

Подключи библиотеку d3d9.lib в настройках проекта. Должно заработать=)

Или в самом начале программы поставь: #pragma comment(lib,"d3d9.lib")