d3dx9.h: file not found Error with visual studio 2010 and OpenCl

I am a newbie to OpenCl. I am using the GeForce 9400GT graphics card and I want to do programming in OpenCl with Visual Studio 2010. But I seem to have some problems. I have installed the NVIDIA GPU Computing SDK and the toolkit.

I was trying to open up the already given files in OpenCl SDK. It opens up in the visual studio but when I try to build it, there is some error C1083: Cannot open include file : d3dx9.h: No such file or directory.
I googled this out and seems that several people had this issue and some got it resolved but I am not able to. I see that most of them who got it resolved, were using VS2008 and DirectX SDK.
I am using VS 2010 and not able to get the solution for this. Do I need to use the DirectX SDK as well. I didn’t see DirectX mentioned anywhere in the OpenCl manual. can anybody please help me out soon?