D3DX9 error when installing Movie Maker 2011

I was trying to install Movie Maker – one of the components of Microsoft live Essentials 2011 in my Windows 7 box, and got this error:

My troubleshooting steps:

1. Install other components of Microsoft Live Essentials 2011 (live messenger) without any problems.
2. Google 0x800b010e, no luck. Looks like it is a general error message.
3. Google D3DX9. Looks like it is something related to DX9 (DirectX 9)
4. Run “dxdiag”. Determine my DirectX version is 11.
5. Check Movie Maker System requirements in Microsoft website (bing movie maker 2011): http://www.microsoft.com/download/en/details.aspx?id=26689

Found this important requirement:

For Photo Gallery and Movie Maker: Some required components of DirectX 9 may be installed for you if they're not already on your computer.

6. Find out the DirectX 9 runtime installation in Microsoft.com: http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=35. Install the Runtime.
7. Reinstall Movie Maker. Problem solved.