I've setup Ogre and dependencies on my PC, and downloaded some Ogre applications. When I launch my new exe file of the project I just downloaded it generates the following error:
05:37:59: Loading library C:/OgreSDK_vc9_v1-7-1/bin/debug\RenderSystem_Direct3D9_d
05:37:59: OGRE EXCEPTION(7:InternalErrorException): Could not load dynamic library C :/OgreSDK_vc9_v1-7-1/bin/debug\RenderSystem_Direct3D9_d. System Error: The specified module could not be found.
in DynLib::load at ..\..\..\..\OgreMain\src\OgreDynLib.cpp (line 91)
Any help would be appreciated.
Thanks in advance.

Upon creation of the central Ogre3D class Ogre::Root, you need to pass the name of a *.CFG file that contains all to be loaded Ogre plugins, such as the above mentioned D3D9 Render System.
That file needs to be next to your *.EXE by default and should look like this (in a minimal form where only the D3D9 Render System is loaded and the matching DLL file resides next to this CFG file):
For more information, have a look at this section in the Ogre3D tutorial 1