Arthur, it will be in the same place your Cliffs Of Dover .exe file is, eg. Local Disk (C
/Steam/steamapps/common/il-2 sturmovik cliffs of dover.
It may be that you don't have that file though. It may also be that you don't need the one that comes with the SweetFX utility either. So don't be too concerned about backing up that 'd3d9.dll' file. I just mentioned it because that's what I found I needed to do. It seems there are at least three other variations on this depending on people's computer setups.
You might want to try just copying everything from the SweetFX folder except the two d3d9 files and seeing if the utility runs without them as that would probably be the easiest install.