Loading a texture from RGBA in memory?

I'm trying to teach myself DirectX, coming from OpenGL. My model loader that I used for OpenGl simply loads texture data into an array of RGBA values. Using this with OpenGl was very simple. However, I cannot seem to do this in DirectX. All the D3DX functions (for example: D3DXCreateTextureFromFileInMemory) assume I have the data loaded in a specific format including the file headers, for example JPG. However, I just want to specify where the data is, its width, height and format, and then let DX do the mipmap generation and other such tasks. How can I best do this? Did I miss some simple function? Thanks in advance for any help.