It should be mentioned that since it is entirely possible to run DLL's just as any other executable, it has long been considered a security issue. As such, there have been a number of security improvements and registry hacks (sorry no longer have ref-links) that prevents running DLL's from regular user space without extra privileges.
As a good example. I recall making these hacks, but since I no longer remember what exactly I did. I can no longer run any DLLs from normal user shell environment, even though starting various Win apps from GUI works just fine.
That said, one should definitely read "Dynamic-Link Library Security" and "Best Practices to Prevent DLL Hijacking".