Dynamic linking of .dlls ???

I recently completed a first person shooter for a school project which I would like to put on the net. Right now there are many data files (.3ds, .bmp, .wav), and a few .dll files. I can live with the data folder if necessary, but right now OpenGL needs the .dlls in the windows systems folder. I don't want to have to tell people to place the .dlls files there.

Someone told me to look into Dynamically linking the .dlls into the project. Does anyone know anything about this?

Also, is there a way to imbed the data files into the project? (I found a tutorial for the bitmap, but it said nothing of other file types).