Two things to check for in terms of the dlls. 1) You have .NET 2.0 or better installed. 2) You have VisualC++ Redistributable 2008 installed.
Both are Microsoft products and are required to successfully run the game and emulator.
After that, the previous individual is correct you should run EBConfig in the game's directory/ebconfig as an administrator if you're on Windows Vista or Windows 7 as it writes your new settings to the registry and you can't do this as a standard admin on a system with User Account Control, you must elevate. The purpose of User account Control is to run your admin user as a "partial admin" so that any changes to system files, program files, user data files, or registry files require full administration privileges and teh system must then notify you to ask if it's ok. (the annoying dim screen and Yes/no box). If you run without admin, User Account Control will prevent the changes and not say a word. (This sounds like what you're experiencing.)
If your account is not the computer admin or authorized to be the admin you can right click or shift right click the shortcut for ebconfig and there should be an option for "Run As Administrator" there. If you're still receiving errors after that, let us know what they say when you attempt to launch ebconfig.
Hope that helps.