com4j.jar includes com4j.dll inside, and at the runtime it does the right thing to load it. Because of this, you normally just have to bundle com4j.jar with your application. The only downside of this convenient approach is a sligh runtime performance hit.
Alternatively, you can either:
Place com4j.dll in the same directory as com4j.jar.
Set the system property java.library.path to include the directory where com4j.dll resides. This needs to be done when you launch a JVM, because the value of the property is cached by class loaders.
Java Web Start
Applications that use com4j can be deployed by using Java Web Start. See the jnlp sample in the distribution for details. If you have Java Web Start software installed, you can try this demo.