Petch is absolutely right. If there is a game (script) available, then it will install the necessary libraries.
Normal libraries like d3dx9, d3dx10, physx, dotnet, vcrun, etc. are bundled with the game files.
So if you want to know what libraries a game requires they are usually found in the game folder, support folder or even a folder called win32. So you will have to look on the CD/DVD or in the download files (Rar, Zip, 7zip, etc)
Even Steam games have packaged libraries after you download the game.
So if you are doing a manual installation check those sources and AppDB for required libraries. Sooner or later you will find the right ones.
If not, post here and we'll try to find out which one's are needed for a game.