If the problem is really "cannot be found", then using ProcMon from Sysinternals will show you where the system is looking for the DLL.
However, often these sort of exceptions mean 'I found the DLL but I can't load it', and that can be because a dependency of the DLL is missing rather than the DLL itself, or because the DLL is incompatible with the app trying to load it. If your C# app is set for 'Any CPU' and you're on a 64bit machine, you'll get this sort of error loading unmanaged 32-bit DLLs.
One way to isolate the problem would be to create a simple C/C++ project which loads the DLL. (Load it dynamically with LoadLibrary if you don't have access to the import lib.) Then use Dependency Walker to profile the test harness, and it will report the names of missing DLLs.