Sounds like a DirectX problem, but can you play SP? If it's just MP that won't work then i'm not sure what the issue is.
Anyway, the typical solutions for the missing file are:
-Restarting (computers are inconsistent..a restart can fix alot of problems
)
-Re-installing the game - There is usually a DX install that takes place during the game install, which should of installed the missing file
-Try updating to the latest available DX (or try DX 9.0c, i believe that is the latest for 9?)
If that fails you could try just extracting d3dx9_38.dll individually from the DirectX 9 package and placing it in your system folder. But some people say you shouldn't just place missing .dll files into the system folder (for whatever reason) though it does tend to fix these missing .dll issues.