I confirm the function not found errors. I didn't get the first one, though. I just installed the Feb. 2006 DX9.0c update, so maybe that has something to do with it.
Sorry for inconvinience. CEGUI's compiled with DX9.0c Aug or Oct 2005 (I think). So it depends on D3DX9_27.DLL, and D3DX9D_27.DLL (debug version). I've the debug DLL for you, could you please put it into "ex1" directory, and run the example again.