I can get all the .dll's to run - but I remember I did have problems initially.
I believe the problem was that one of the dll's need to be given a different name to the one specified in the help. (Or was it the name produced by the default VS project file?! Hmm - can't remember - this is going back a bit...!)
...anyway, I'll refresh my memory when I get home and hopefully give you a better answer!