When I used Windows 98 I used to type "dxsetup" in "Start->Run..." and it runs some tests of the DirectX.
Now, with DirectX 9 on my Windows XP there's no dxsetup. Where it is? Or, is there another tool to test my card for 3D?
You've probably used some modded XP installation media. dxdiag is installed by default in XP and usualy there is no way to skip it during installation or remove it using "Add/Remove Windows components".
You can get this file from original CD (just look for or DXDIAG.EX_ in I368 folder).
Rename this DXDIAG.EX_ into DXDIAG.CAB and unpack it just like usual CAB archive.