Some games run fine without it, as Wine has a lot of directx already. A lot of games need just one little part of native directx, so you can often get away with just winetricks d3dx9_36 because that brings in the key missing bits. Occasionally you have to do the rather bigger winetricks d3dx9 or even the massive winetricks directx9 but you should use the lightest-weight one that works.
