Aha!
I found the problem!
When you install DirectX, you have to use the command-line option /InstallManagedDX on the installer! Otherwise Microsoft assumes you're not interested in running .NET DirectX applications and doesn't install support for them
BTW, when I say the installer, I mean the dxsetup.exe that you get after extracting the initial self-extracting archive.
Try downloading the program again, too... now you can move the most recently created shape around by using the Translate menu options... currently Screen coordinates are not implemented, though, and Local and World do the same thing since I haven't added object rotation (just camera orbiting)...
