Windows and Mac OS X both use the path of the executable for finding other dlls, but not the path of each dll that is loaded (that could be a lot of paths). I think GNU/Linux might do the same, I don't remember off the top of my head, but you so rarely encounter this on GNU/Linux since you're almost always installing dlls in the path (/usr/lib, /usr/local/lib).
With the Mac version of readanysf~, the libraries are loaded from a statically defined path (/Library/Pd/readanysf~). So to make an easily deployable readanysf~ for Windows, this issue will have to be sorted out.
Any suggestion on how to do that Hans? Is there a way to make it so that it tightly integrates with Pd-extended?