I just installed obge 3 and when I startup the game it says it cant find the file "d3dx9_43.dll", but the game still runs. i havent statred playing because im really scared that something will go wrong if i do.

I do not think so and I do not see why it would do wrong to your Pc. I would attempt an uninstall and retry.

Did you try installing the DirectX update linked in the OP of the OBGE thread?