Rating: The issue is easy to solve.
Issue: d3dx9_40.dll is missing
Reason: You are using an older version of Windows (XP and lower) or a not proper updated newer version of Windows. Shadow of Fear comes with an actual and advanced rendering engine. Because of this Shadow of Fear needs the latest DirectX Update. While writing this post the newest version of DirectX for Windows XP and lower is 9.40.
Solution: patch your Windows to the newest DirectX Version – do not download the dll and put it somwhere because it would be a major security risk (if you are not getting a proper but a hacked version). Download the newest DirectX Version directly from Microsoft. If the Web Installer doesn’t work for you, just use the redistributable download. Update your Computer. Problem solved.