Bill,
What is wrong with multiple DLLs in the program directory? Answer: it is usually tedious copying everything to the right folders.
Part of the answer to the underlying inconvenience of this is to use an installer program. Like a number of other users in this forum I use Jordan Russell's free InnoSetup program. This takes your application, all its DLL files, sample data, fonts etc, and bundles them up in a single (compressed) EXE for distribution. When you run this standalone Setup program, it unpacks everything into the right folders, installs fonts (etc) and can, if you want, create file associations and other registry entries, and put shortcuts on the desktop, in the Start menu etc. The current method of providing online help is to use a compiled hypertext help file, so a fully-fledged application always runs to more than one file (when installed) anyway!
You can download InnoSetup from Jordan Russell Software's web site and it is completely free to use. When you get the hang of it you can customize the appearance of the install / setup program when it runs, and allow user choice where everything goes.
Using a bunch of DLLs is how just about every Windows program ever distributed operates. Using an installer at least gives you only one file* to distribute ...
Eddie
*actually two, as if you distribute on a CD or DVD you will probably also want an AUTORUN.INF file as well as the Setup.EXE - AUTORUN.INF is more complicated if you put it on a USB drive.