How can I retrieve error strings for DirectX 9

To get DirectX error message, there are two functions — DXGetErrorString() and DXGetErrorDescription(). That being said, FormatMessage() will not get you what you want. Here is a small example:

// You'll need this include file and library linked.
#include <DxErr.h>
#pragma comment(lib, "dxerr.lib")

...

if (FAILED(hr)) {
    fprintf(stderr, "Error: %s error description: %s\n",
        DXGetErrorString(hr), DXGetErrorDescription(hr));
}