You wouldn't go to Run.
Try going to Start, Search, For files or folders.
Tick on "All Files and Folders (if you have XP), and then press the "Advanced Options" button, and select from the list "Search System Folders" and "Search Hidden Files".
Now type that in and to make sure it finds that exact file, put it within "libeay.dll" speech marks, and this makes it search for that exact file, and this becomes very useful for this kind of thing, so it won't find libeay32.dll as well.
I hope this helps