When you install a game and it asks if you want to install DirectX with it, it's safe to do this, as the latest version of DirectX won't be overwritten. Most XP games have the appropriate DirectX software included. However, when DirectX 9.0 is not installed, some games won't run, probably saying a d3dx9_xxx.dll file is missing, or that DirectX 9.0 is not present.
Windows 11 and Windows 10 come with DirectX 12 by default. These versions of Windows still support DirectX 9.0 games. The other way around, XP games might need DirectX 9.0C or previous versions, while these might not be available on the latest Windows OS. Windows XP officialy supports DirectX up to version 9.0C, therefore the latest games cannot be played on Windows XP anymore.
