Problem with DLL location on Win2000 system

I have an application which contains of a main program calling some DLL's
(written in Delphi). If I run the application on Win 95/98 or XP systems,
all goes well. However, on Win2000, after starting the program it reports
that a DLL could not be found in the specified path. Win2000 then reports
the path where it searched for the DLLs and the directory where I have
stored the DLL's in, is definitely present in this path. I tried to change
posistion of the DLL's (e.g. also stored them in the current directory) but
no success. Since the same program works on other platforms, it must have to
do with specific Win2000 settings. I already checked security settings (or
even run the program from administrator) but also here no success.

Are there any parameters which I have to set in Delphi (I am using Delphi 4)
in order to generate acceptable executables or DLL's for Win2000 systems.