Could be one of 4 possibilities:
1. You have Windows XP -> limited to DirectX 9. Want DX11? Upgrade to Windows Vista or 7.
2. You have Windows Vista -> You may have already installed it, but don't remember. Or, perhaps you have virus/malware preventing to from downloading/installing.
3. You have Windows 7 which already includes DX11.
4. You do not have a DX11 compatible card installed which means you will be either limited to DX9 or DX10.
No I have Windows 7 Ultimate and have since I asked about direct x11 got it straightened out.