DirectX consists of multiple parts. One is the core parts. So when people say 'I have DirectX installed' this is actually what they are saying. Then there are some optional parts.
The core parts change rarely - only on major DirectX version changes, DX8, 9, 9b, 9c, 10 - the optional parts change with each SDK release.
Phrogram relies on some optional parts - and I believe we use the optional parts from sometime in 2006 (this is perfectly OK and nothing to worry about). So having the latest SDK installed does NOT give you everything you need.
This is why during the Phrogram install we send you to the DirectX website and tell you to run it. Often people choose not to - thats not our fault :-)
We COULD include DirectX installer as part of the Phrogram installer but it would make it much much bigger. The Microsoft web installer is very smart and only downloads the missing parts. Sadly MS don't make this available to external developers - our only option is to include to full DirectX installer - we've chosen to keep the downlaod size low and ask people to run the web installer.
Managed DirectX and XNA ? Check out
http://www.thezbuffer.com