DirectX is still a COM technology, so you will probably need to bone up on your COM/.Net interoperability.
What type of DirectX programming are you looking to do. I have a good book specifically for DirectShow, which is the subset of DirectX for video editing, displaying.
Programming Microsoft DirectShow for Digital Video and Television
by Mark D. Pesce (Author)
Publisher: Microsoft Press; Book and CD-ROM edition (February 12, 2003)
Some of the reviews on this book say that it doesn't help resolve the real world issues that you come across, and is more a re-statement of MSDN, but I found that I didn't have enough background to follow what was in MSDN. Although, I have let that project slide, I found that coming from doing no video editing work, this book was a very good starting place.
(Sorry that this post isn't very helpful unless you are interested in DirectShow.)
There are many books on DirectX out, and I would expect it would be better to get a good book explaining the API, and learn the .Net issues/steps on your own. But there may be a good book out there already.
John R Lick