You may have noticed that DirectShow was not included in the April 2005 update of the DirectX SDK. That's because DirectShow is moving to the Platform SDK, starting with the Platform SDK for Windows Server 2003 Service Pack 1, which should be available soon.
In the meantime, you can still download the DirectShow SDK from the DirectX download site. Go to http://msdn.microsoft.com/directx/directxdownloads/default.aspx, and click "DirectX 9.0 SDK Update - (February 2005) Extras". This download contains the DirectShow headers, libs, documentation, samples, and tools.
This posting is provided "AS IS" with no warranties, and confers no rights.