If you're using the GOG version, you probably installed the mod right after downloading and installing the game, because that's what I did and the same thing happened to me.
Run the vanilla game once, so the Bin and Data_Win32 folders are created. Quit the game, then install the mod files you downloaded from here. Replace all as asked, and then follow the instruction in the included readme to run the game.
You don't have to go looking for DLLs or anything like that.
ThegnAnsgar
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