They don't have to be in the same directory. They can be in another directory if your PATH
variables includes the directory they are in.
It looks like the Poco libraries can be downloaded as source, so you should be able to build them as static libraries and make a stand alone executable.
Update
For the msvc DLL's, you can build against static libraries. Bring up the properties of your project, go to C/C++, Code Generation and modify "Runtime Library". Make sure to choose a library other then "Multi-threaded DLL" or "Multi-threaded Debug DLL." You will also want to make sure you do that for the Poco libraries as well.