According to the docs, DXSpy only supports DX7 and DX8. I haven't tried it, but it sounds like it won't work with DX9. Since the doc was very vague about what it does, it's hard to say how it's intercepting calls. How does it say you "attach" it to a window? Does it intercept ALL calls to all windows using DirectX, or are you supposed to point it at a window like with the normal Spy tool?
-Ner