Thanks...
I came across the D3DXMatrixOrthoLH procedure which looks like it does exactly what I need.

It has the following parameters
function D3DXMatrixOrthoLH(Out : PD3DXMatrix; w, h, zn, zf : Single)

The "out" parameter is obvious of course. But what is the rest?

Here's the explanation given in the DirectX SDK help file

w
[in] Width of the view volume.
h
[in] Height of the view volume.
zn
[in] Minimum z-value of the view volume.
zf
[in] Maximum z-value of the view volume.

I don't get it though. Any ideas?