dll in my project

Hello, i want to know if its possible to add a .dll file into my project.
Im making a program but it needs the dll to run, so i was wondering if i can add a dll to my project, so that when i compile it to an exe it becomes one (.exe) file with the dll inside.

Well if it was possible (i don't know if it is or isn't) we could but the activeX that r in .dll and the vb6 runtime in the file!

Would be useful!!