This sounds like a permissions problem. You will need to be logged on with Admin rights to access the system folders (XP I assume)

You could just put the dlls in the same folder as DXTBmp but the mwgfxdll.exe file is an installer containing the dlls so it won`t do anything. If you have some way of transferring files between PCs (USB key?) then you could get all the mwgx???.dll files from windowssystem32 on the other PC and copy them to the dxtbmp folder on the "bad" machine.

However you should be able to access the system folder and run the dll installer if you are set up with admin priviledges. If you only have "Limited" access rights then the system will stop you accessing a lot of areas