If you use a dll as a plugin it should be in the Assets/Plugins-folder. If that plugin needs other dll's they should be in the root of the project folder (or in the Editor-folder of Unity installation folder). If the application is built, naturally the dll's should be made available, for example adding them to the same folder as the executable.
You can try to track down the exception with Dependency Walker.
In addition I have encountered similar problems in Windows 8 when highgui.dll was needed by the plugin. Once removed, no exceptions (I never really found out what the problems was).