Capture screen using DirectX

I know how to use GDI to capture screen, however it is very slow (it barely captures 10 fps)

I have read that DirectX offers the best speed. But before I start learning DirectX I wanted to test a sample to see if it is really that fast.

I have found this question that offers a sample code to do that:

void dump_buffer()
{
   IDirect3DSurface9* pRenderTarget=NULL;
   IDirect3DSurface9* pDestTarget=NULL;
     const char file[] = "Pickture.bmp";
   // sanity checks.
   if (Device == NULL)
      return;

   // get the render target surface.
   HRESULT hr = Device->GetRenderTarget(0, &pRenderTarget);
   // get the current adapter display mode.
   //hr = pDirect3D->GetAdapterDisplayMode(D3DADAPTER_DEFAULT,&d3ddisplaymode);

   // create a destination surface.
   hr = Device->CreateOffscreenPlainSurface(DisplayMde.Width,
                         DisplayMde.Height,
                         DisplayMde.Format,
                         D3DPOOL_SYSTEMMEM,
                         &pDestTarget,
                         NULL);
   //copy the render target to the destination surface.
   hr = Device->GetRenderTargetData(pRenderTarget, pDestTarget);
   //save its contents to a bitmap file.
   hr = D3DXSaveSurfaceToFile(file,
                              D3DXIFF_BMP,
                              pDestTarget,
                              NULL,
                              NULL);

   // clean up.
   pRenderTarget->Release();
   pDestTarget->Release();
}

I have tried to include the required files. However not all of them can be included (for example #include <D3dx9tex.h>).

Can anyone provide a working example that has all of the required includes or point me to what libraries I should install.

I am using Visual C++ 2010 Express on Windows 7 Ultimate (x64).

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Edit:

Also, this code is not complete, for example what is the Device identifier?!