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D3DX is a library of tools designed to provide additional graphics functionality on top of Microsoft Direct3D. D3DX is not part of the operating system (and could be implemented by any application). The D3DX library is statically linked to your application. Because it is a helper library, you should not assume it is thread-safe.
The D3DX library addresses these general areas of functionality:
Be careful when overloading the new and delete operators. Because your application is statically linked with the D3DX libraries D3dx9.lib, D3dx9d.lib, and D3dx9dt.lib, incorrect overloading of the new and delete operators may cause problems when compiling shaders with functions such as D3DXCreateEffect.