Or, if you bought Titianium, you can install it from the DirectX9 folder on the CD.
The newest version of DirectX was just released on 8/8/06, so you might want to get that one if you want to stay up to date. The one you linked is from the April release.
NOTE! People are reporting issues with the newest version of DirectX, so you might want to check EQ's official forums before upgrading it.