Turns out that Vista's DirectX 10 is not fully backwards compatible with DirectX 9, and Vista does not ship with the components required for all games that utilize DirectX 9.. Therefore, if you get any errors about missing DLL files from games when you try to run them in Vista (such as Medieval 2: Total War), then you'll have to actually download and install DirectX 9!
Just in case you need to do so - here's the link as of Feb 2007: DirectX Runtime Files
News source: Vista Blogging.com
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