compile:

SET DXSDK_DIR=C:\Program Files (x86)\Microsoft DirectX SDK (June 2010)
SET INCLUDE=%DXSDK_DIR%\INCLUDE;%INCLUDE%
SET LIB=%DXSDK_DIR%\Lib\%VSCMD_ARG_TGT_ARCH%;%LIB%

ml hello.asm ^
         /link ^
         user32.lib ^
         d3d9.lib ^
        /SUBSYSTEM:WINDOWS

Result:

+------------------------------------------+
|Hello, World!                    [_][~][X]|
+------------------------------------------+
|                                          |
|                   / \                    |
|                 /     \                  |
|               /         \                |
|             /             \              |
|           /                 \            |
|         /                     \          |
|       /                         \        |
|     /                             \      |
|    - - - - - - - - - - - - - - - - -     |
+------------------------------------------+

Caution:

This code was generated in cl /FA hello.c. I am using Visual C++ 2015 cl.exe because generating disassembler with the new cl.exe did not work for unknown reasons. The following information may be helpful. https://stackoverflow.com/questions/46611550/error-a2008-syntax-error