Well XP comes installed with DX 8.1 - 8.1b is the latest released version and it only works for 95/98/ME and 2000.
As quoted from the DX 8.1b download page:
"On Windows XP, you will need to download the latest Service Pack, or install the corresponding hot fixes. Please see Knowledge Base Articles Q321178, Q307207, and Q318507, for more information."
Basically - Do you really need an update? If you are having issues and need to update dirextX you must run windows update which will download "hotfixes" for XP. DX has only had two interim releases since XP came out (8.1a and 8.1b). DirectX 9 won't be out until end of Sept - October.
Windows XP SP1 will be out later this month or early September, which may end up having DX9 in it upon final release.
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