Today I release a Managed DirectX Bootstrapper package on GotDotNet.  (You can also find a previously released Bootstrapper package for deploying the 1.1 Framework as well.)

You can check it out here: http://www.gotdotnet.com/workspaces/workspace.aspx?id=7e8e8cbd-b447-4a9d-a984-9379d1a0c190

This will allow you to ClickOnce deploy applications which use Managed DirectX and use the Bootstrapper to detect / install Managed DirectX if it isn't on the target machine.