Try reinstalling directx from the web installer here http://www.microsoft.com/en-ca/download/details.aspx?id=35. While that file does indeed deal with audio, it is not a standalone library, so it won't work no matter where you put it without the other libraries as well. The self-contained installer from that link will automatically determine what files are missing and install them.
edit: I forgot to mention, you should also delete the version of that dll that you downloaded from all of the folders you put it in. I don't know where you got it or what version it is, but if it is the wrong version and it is still present in the game's directory, it will override the correct version that gets installed in the system folder. Best to just remove it to be safe.