I developed NashaENGINE which is a DirectX 9 game engine. It has a GUI framework. You can check out the demo (Sound+GUI Demo, search the forums).

When you start to make your own directx based GUI framework, you'll need the following things.

> You must be able to render fonts (see fontstudio, or clooties font header).
> You must be able to render quads/rectangles. These can also be transparent if you want some cool effects.

Then you write a GUI base class with methods like render, click, mousemove and update. Finally you implement some GUI classes that implement this base class. You just describe their behaviour and appearance in these functions.

If you use DelphiX, i think this shouldn't be too hard. You can use a DirectDrawSurface for each dialog, and render the controls on it. Finally render the whole thing to the screen to make the dialog visible.

Hope this helps.