You should check the Microsoft web site for details on how DLL's are found. Putting your DLL next to the Photoshop exe is what I would do.
FYI, XP would give you no hint as to why your plug-in wouldn't load. NT would give you a warning dialog (thank you). Win7 also gives you a warning dialog (thank you). But the "thank you" is from a developer perspective. Users don't understand or care about dialogs that complain about missing DLL's. Those users usually call Adobe Tech Support!