If you drop the file into the program's folder, it should be able to find
it. If no luck, try the Windows\ or Windows\system32 folder.
Programs needing special *.dll files usually include them in the software
package. Also, there are various versions of any one *.dll file so there's
no guarantee that the one you've downloaded is the right version. You may
want to check with the program vendor to see if they have a newer version
of their software that includes the needed file.