That's the way it works. Look at other games. Even the AAA-titles do it the same way.
The alternative is to install it to a central place like c:\windows\system32 | c:\windows\syswow64, where most of the other dlls are placed (e.g. the MSVC++ redistributable dlls like msvcp120.dll, msvcrt.dll, ...).
But that is also one of the central problems with dlls: These places should be reserved for vital system dlls and not some other files the user places there just arbitrary.
Under unixoid systems there is the nice separation of /usr/lib and /usr/local/lib that shows the difference.
So, go with it, just place them besides your files. For the MSVC++ redistributables, just include the appropriate installer with your game (and never include the *_d.dll files, as they are debug files and Microsoft doesn't allow them to be redistributed).