what if I already did it? wuats the consequence
I have windows 10 btw, c-rpg seemed to run fine(?) with it.
DLLs basically are libraries full of code, so if you get the error that "BLAH.DLL" is missing, it means that one part of your code is trying to use some part of code that is content of the Blah-library, which is not where it is supposed to be.
So you pretty much write a note reading "Get some chocolate from the fridge". Then someone looks at the note, walks to the kitchen but the fridge isn't even there.
Installing is always the much cleaner option, pasting does work. But if unlucky it might cause complications of whatever kind.
You don't only paste games into your programs folder either, you install them and kind of let the system know that it is there.