Okay, I figured out how to make it work. You do in fact need the Managed version of Direct X 9, but not the SDK.
If you don't have Direct X 9 installed, install it (the managed version)
If you do, you'll have to go to some work. Here's what I did: Download the Redistributable version (not the web version) here:
DirectX RedistributableThen, extract the files to a temporary location in a folder on your desktop. Then, open that folder, and open the ManagedDX.CAB file. If you have WinZip or a similar program this should be simple. From there, unzip or run the only file in it. These are the Managed Direct X files you need. Now the exe file should run (and the makesgdk.bat file should work also, but since the exe is included, this is unneccessary).
I made it easier for you, if you want, by taking just the part you need and putting it up here: (Location moved; See below)
Just unzip that and run the file inside.