OK folks!
I think I got it… finaly.
I rebooted in “without errors – WITH NETWORK SUPPORT”.
Then, in this mode, I launched steam (not even in admin mode).
And for each game installed (currently BRINK, BFBC2 and MOH), I let it install DirectX in this mode. And … in this mode, it finishes well !!! \o/
So I did install DirectX 3 times, yes, lauching every of those 3 games installed.
I rebooted, and the problem is gone. Steam no longer tries to reinstall directx, I guess because now Steam has its flaged stuff in some config file… 
So basically that’s all 
We still don’t know if jfunk’s DLL in his RAR are necessary or not do install, so if any other person having the same problem I had, please test this method and tell us there, WITHOUT installing jfunk’s DLLs.
So:
- reboot in “without errors with network support”
- launch steam
- launch every game installed at least once, as DirectX installs/updates what it needs to be
- reboot windows in normal mode
- enjoy? !
I really hope this will help,
–
jpa