Include d3dx8mesh.h in d3dx8.h and add some commented out ones as reminders.

We still fallback to an idle server, but this prevents a client from
connecting to a named pipe server that isn't listening.

ntdll: The FileMailslotSetInformation and FileCompletionInformation cases of NtSetInformationFile don't need the fd.

So don't do an extra server call to get the fd to avoid a performance
penalty and to make these cases work when an fd isn't available.

Use a local header file for them.