bjoern: Yes, this is the same problem. The program quit with the missing dll dialog.
I can confirm that even after installing DirextX 9.0c I don't have d3dx9_30.dll. Maybe I did not have to install DirectX 9 after all, I will try to just copy the dll on my next reinstall.
Or vvvv could remove it's hard-coded versions requirements :)
Anyway, now it works and I'm a happy camper.