Uh... first off, why would you want to? I dont think the rmxp really would need better graphics because, graphics dont make the game... they do help, but story line is what makes a game good...
Edit: Also, isnt direct x mostly for 3d games? since the rmxp doesnt run 3d, this would also be pretty pointless to use... But, i dont really know much about direct x so maybe im wrong.