From my memory the DirectX SDK will not integrate with VS 6 anymore, I have done a quick search to find an MS link that says this...(Someone else might have the actual link and post it ). Also there is no longer an Application template this has been removed, you are able to use the sample browser and select the empty project, from there you can use this as a base for your applications.
DX9c and VStudio 6
Elio Soares
Also there is no longer an Application template this has been removed, you are able to use the sample browser and select the empty project, from there you can use this as a base for your applications.
TheBlasphemer
-Lee
Novas
I think the only IDE integration that the SDK adds is 'Run with Debug runtime' and Shader Debugging.