I've had the same problem twice already and the easiest and most concise solution that I found is locatedhere (in MSDN Blogs -> Games for Windows and the DirectX SDK). However, just in case that page goes down, here's the method:

1. Remove the Visual C++ 2010 Redistributable Package version 10.0.40219 (Service Pack 1) from the system (both x86 and x64 if applicable). This can be easily done via a command-line with administrator rights:

   MsiExec.exe /passive /X{F0C3E5D1-1ADE-321E-8167-68EF0DE699A5}
   MsiExec.exe /passive /X{1D8E6291-B0D5-35EC-8441-6616F567A0F7}
   

2. Install the DirectX SDK (June 2010)

3. Reinstall the Visual C++ 2010 Redistributable Package version 10.0.40219 (Service Pack 1). On an x64 system, you should install both the x86 and x64 versions of the C++ REDIST. Be sure to install the most current version available, which at this point is the KB 2565063 with a security fix.

Note: This issue does not affect earlier version of the DirectX SDK which deploy the VS 2005 / VS 2008 CRT REDIST and do not deploy the VS 2010 CRT REDIST. This issue does not affect the DirectX End-User Runtime web or stand-alone installer as those packages do not deploy any version of the VC++ CRT.