IMPORTANT! You must update DirectX, particularly if you are running Windows XP. On XP it will install the latest DirectX 9 components, even if it looks like the installer for DirectX 11. If you do not do this, D3D9X_42.DLL will not be installed on your system.
The NTHUSIM installer takes you to the DirectX website (http://www.microsoft.com/directx), but then what?
This page shows you how to navigate the Microsoft site to find the files you need.
Click on "Latest DirectX Downloads for Gamers"
Click "DirectX End-user Runtime update"
Click the "Download" button.
This will download the installer, which in turn will download the necessary components.