If you own the game, downloading it would be perfectly legal.
The DLL sounds like it was supposed to exist on your machine before you installed the game... When you say you go to other peoples houses to enjoy the goodness, are you installing your copy on their machine? Or do they own it as well? Have you tried getting the DLL off their machine?
Have you called Ensemble's tech support? It's most likely toll-free.
If all else, fails, exchange it and reformat
(I'm kidding! 
)
<edit>Is the game compatible with your OS?</edit>