Source for D3DXVec3Unproject

They do not give out the source as far as I know so you will need to recreate it yourself. When projecting normally a point is transformed firstly by the world matrix so it goes into world space from model space, then by the view matrix so the world is seen from the point of view of the camera and then by the projection matrix that applies perspective etc. So you will need to do the reverse by taking the inverse matrix.