When you start, just download it to the desktop (this is what I did), then open my computer, and type
C:\Windows\System32, and press enter. The screen may display a different address, that is ok. If you are in the right place, if you scrol down a little you should see several other files ending in .dll. If you do, then just drag and drop the file you just downloaded onto the desktop anywhere in this folder. Now try the game.
This is x32 module and @corman221 has x64 system,he should place this file in C:\Windows\SYSWOW64 where x64 system store x32 modules,otherwise it won't work