i just saw the "Note The D3DX (D3DX 9, D3DX 10, and D3DX 11) utility library is deprecated for Windows 8 Release Preview and is not supported for Metro style apps." in the D3DX 11 Reference and am a little concerned and confused. What does this mean?
Deprecated generally means you should not use it if at all possible. It means the vendor is starting the legwork to get dependecies dropped so that the entire system can be dropped. Usually, this is because there is a "better" replacement, but not always. In this case, Microsoft is alerting you to the fact that this utility library will not work in the WinRT/Metro app stack.
As far as Win8/Metro, Microsoft is embarking on a diversification (and/or yet another migration) of the development ecosystem. They do it often, mostly to support a continued reason for endless certification as a revenue stream, but in this case it has a basis in technology too.
Windows has always been stuck in a symbiotic relationship with Intel, but with the growing success of ARM, they realize they have to start being able to support very different hardware or risk die off. So, they built a new version of Win32, called WinRT. Win32 and WinRT are both ABIs. But, instead of beating devs into WinRT, they are making it alluring. Lots of Metro libraries, lots of new tools and "stuff", and the Metro store, will operate solely through your involvement of WinRT, not Win32, in your application. Also, for selfish reasons, WinRT has an API focus on allowing Microsoft to strictly and quickly review your app for store placement. There's lots you can't do through the WinRT API as it currently stands. You can write a WinRT disk formatter, for example, and especially not sell it on the Metro Store.
I suspect that eventually WinRT grows to replace Win32, but this will take a long time. Win32 is "too big too fail" quickly; it must be nursed into oblivion very carefully and very slowly.