Static linking is not an option.
Let's say that I have an executable that relies on a DLL. One solution is to ship the DLL in the same folder as the executable. Now let's say that I need to inject a DLL into a process that relies on a DLL. Because the DLL is injected, where would I put the DLLs that it relies on? In the same folder? Or in the directory of the process that is injected to?
DLLs depending on one or more other DLLs is not something special. Even a trivial DLL will have dependencies on Windows shared components which are residing in other DLLs. A good example of these "shared components" would be Kernel32.dll and the CRT DLL such as MSVCR80.DLL etc.
You can find out exactly which other DLLs your DLL or EXE requires on by invoking the Dependency Walker. To do that, just run depends.exe from a Visual Studio Command Prompt and drag-and-drop the DLL of interest into the Window that appears. In case you don't have dependency walker available, you can download it from the above link.
I'm not sure of the DLL injection stuff, but it should generally be sufficient if you place all your (other DLL) dependencies in the same folder as your DLL, which would be the folder in which the EXE loading these DLLs resides.
Eg: If C:\test\foo.exe requires bar.dll (which in turn requires baz.dll, assuming baz.dll is not a standard windows shared component), then you would place both bar.dll and baz.dll in C:\test.
There is a lot more to how the OS determines which DLL to load, since multiple versions of the same DLL may exist at various locations and MSDN has a helpful article on the search order for dynamic linked libraries.
