It crashes, still, but that could be down to the nature of the actual test code - what is it trying to do?
Jim, test app just open and fill screen with a white color.
I'm curious as to why the zip lib from directx is used...
Because it got all necessary zlib functions to unpack the intro and plus LoadLibrary/GetProcAddress, which is used to retrieve other functions address, like in user32.dll / d3d9.dll / kernel32.dll, not to mention that you got all functions to compiler your shader program.
It use absolute offsets into d3dx9_30.dll which could be the problem with windows 7 or perhaps something changed in the win7 exe loader.
Btw, can you check if your Win7 d3dx9_30.dll file is the same used on WinXP ?