Subset of files from the DirectX SDK June 2010. Just extract the files once you've downloaded it.

include\D3DX11.h
include\D3DX11async.h
include\D3DX11core.h
include\D3DX11tex.h
include\D3DX10.h
include\d3dx10async.h
include\D3DX10core.h
include\D3DX10math.h
include\D3DX10math.inl
include\D3DX10mesh.h
include\D3DX10tex.h
include\d3dx9.h
include\d3dx9anim.h
include\d3dx9core.h
include\d3dx9effect.h
include\d3dx9math.h
include\d3dx9math.inl
include\d3dx9mesh.h
include\d3dx9shader.h
include\d3dx9shape.h
include\d3dx9tex.h
include\d3dx9xof.h