For future use, you can keep the file you downloaded or simply delete it - it doesn't matter.

Now you can delete the files in the temporary folder. There will be lots of files in there - run DXSETUP.exe and wait for it to complete the installation. This is a temporary folder only - you can delete these files once the Direct X 9.0c installation has completed. You will be asked where you want to place the extracted files. Double-click on the file once the download has completed.

Instructions: make a system backup or restore point.This is the 'redist' version of DirectX - all files are downloaded in one package (rather than an active download).This release also resolves a number of minor bugs and includes security updates. DirectX 9.0c will overwrite any earlier versions. If you had an earlier version of DirectX installed on your system, you will see little difference in available space on your hard drive following the installation. It also features more immersive audio when running and displaying programs rich in multimedia elements such as full-color graphics, video, 3-D animation and surround sound. This latest version of DirectX offers better security, updated graphics, faster frame rates, and support for massively multiplayer games. DirectX 9.0c will help improve multimedia experiences on most PCs.

Directx 9 installation package