You'll need DLL's anyway if you don't want to run against D3DX9 DEBUG dll all the time.

So, have you tried downloading from SourceForge?

And, yes, it's possible to modify GUI to work under OpenGL, no special gems hidden inside D3DX9.

PS. There is bug in D3DFramework I can't solve: as you can easily notice window caption is SINGLE LETTER!!! And I just can't fix that without stitching to ansi (from unicode) window class :?