Installing:
Put d3dx9_42.dll and d3dx9_42_.dll in Skyrim's root directory (where TESV.exe is).

What it does:
This DLL will allow loading SKSE plugins before game initializes. To load a plugin that way create a text file in Data/SKSE/Plugins/ with name "YourPluginName_preload.txt". For example if I want to preload CrashFixPlugin.dll then I create a file named "CrashFixPlugin_preload.txt" in the SKSE plugins directory.

Create a file called "d3dx9_42.log" in Skyrim's directory to troubleshoot any loading issues.

d3dx9_42.dll - Used to load SKSE plugins before game initializes. This is a wrapper that will redirect function calls to d3dx9_42_.dll
d3dx9_42_.dll - Original DLL file.

SHA256:
d3dx9_42.dll - 15396b215802b72ed3898fc657540e949c5e943552ee61188be40cdf4b5b8131
d3dx9_42_.dll - f8b9cfab7fffbc8f98e41aa439d72921dc180634a1febca2a9d41a0df35d3472

Credits to Sheson for creating the d3d9 wrapper.