Windows Vista and Windows 7 introduced newer versions of Direct X, version 10 and 11 respectively. However, these are not backward compatible, and hence, users of Windows XP are obviously left out.
Furthermore, most new games require Direct X 10/11 for best results, leading to much disappointment among gamers.
Installing DirectX 10/11 on Windows XP
Officially, Windows XP SP2 has Direct X 8.1, and SP3 brought Direct X 9.0b. There have been attempts to get Direct X 10/11 for Windows XP (including the Alkyl Project). Alkyl Project closed down in early 2008.
The fact is, that the internals of Windows XP and Vista/7 are so radically different (especially on the graphics side) that attempting a port is futile.
Bitter victims suggest that many of the other hacked DirectX 10/11 installer files are not only older versions of DirectX, but some even contain malware. Thus, the consensus is that it is better to not use those unofficial versions.
The latest version of Direct X for Windows XP users is Direct X 9C
Windows Vista has Direct X 10. You can get DirectX 11 from Windows Update. You can also get the Direct X offline installer for Vista.