DX11 should be installed automatically with any game that supports DX11.
You also need Vista or Windows 7 and a DX11 compatible card for it to work.
If you still have questions, please give more details as to your problem.
a) what GAME are you trying to run
b) what version of WINDOWS do you have (i.e. Windows 7 64-bit)
c) what GRAPHICS CARD do you own?