(Assuming "dx9"=DirectX9)
The order they go in is the same as the order you put the hardware in...Chipset, Graphics, DirectX. Anytime you change any of the drivers (technically DirectX isn't a driver), run DirectX's setup again. May not be necessary, but it may cure a problem you might run across.
DirectX will be on most magazine coverdiscs, and bundled with any game. Obviously, the more recent the game, the more recent the version of DX. Finally if you can't find the latest version the (9.0c) its on MS's site.
Yes, cover the whole of the heatspreader with thermal goop, but make it a film of the stuff rather than a blob (use a credit card to smear it around, and rotate the heatsink a degree or two (as much as the clip allows) once it's set in place).