Trying to run SNES9X from a USB Stick

So I'm trying to get Snes9x to run from my thumb drive, so that I can take it with me and just plug and play. I tried it on my work computer and got the d3dx9_42.dll error. For shits and giggles I tried NEStopia and got d3dx9_43.dll error.

I then extracted the emulators to the PC desktop and tried again and got the same error. Is this an issue with trying to run it from a USB or the work PC?