MDAC - Microsoft Data Access Components ODBC Drivers. For some frikken reason they're needed even for a simple DX9 app! :( Ok, I guess this sample I was using poorly written. ODBC isn't needed by default. Not only did the sample specifiy extraneous odbc drivers, it was missing some core DLL's like user32 and gdi32. After many wasted hours in download/configuration hell, I can finally start making some progress.
Visual Studio 2005 Express Still in beta, this is Microsoft's student/hobbiest type development environment. Should be well under $100 when released. I've been considering C# and C++.