What Squall said, you just forgot setting up the include dirs, which is obvious if you look at this error:
22>c:\users\vs2008\desktop\dolphin-emu1\source\plugins\plugin_videodx9\src\D3DBase.h(23) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory
22>c:\users\vs2008\desktop\dolphin-emu1\source\plugins\plugin_videodx9\src\D3DBase.h(23) : fatal error C1083: Cannot open include file: 'd3dx9.h': No such file or directory