Why after referenced dll files to my project they are not on my release directory when i build the project ?

Question

This is a screenshot of my visual studio csharp the References and properties part of the dll's:
You can see on the right the 3 problem files are the directx dll files.
When my brother is running the program he get exception say one or more of the dll files is not found.
I sent him the 3 dll files he tried to put them from where he was running the program he also tried to put them at the directory they are in my place: C:\Temp\radarscan\dlls\DLL'S\Microsoft.DirectX.DLL
He created this directory and put them there but it didn't help.
I was sure once i referenced the dll files they are in my program no need to have them. And at least to have them in the directory where you running the program from but it's not working.
What i want is that my brother and anyone else that will run the program will not need the dll files on his pc and if he does need them so to have them in the directory where you are running the program from will be enough. How can i solve it ?

Answer 1

Still not working. Tried Samir solution but same problem my brother on his computer getting exception:
This is the code the line where the exception happen 142:
private void ScanClouds_Load(object sender, EventArgs e)
Boolean bl = InitializeDirectX();
if (bl == false)
MessageBox.Show("Error initializing directX!");
Application.Exit();
And in the method init:
private Boolean InitializeDirectX()
DispMode = Manager.Adapters[Manager.Adapters.Default.Adapter].CurrentDisplayMode;
D3Dpp = new PresentParameters();
D3Dpp.BackBufferFormat = DispMode.Format;
D3Dpp.PresentFlag = PresentFlag.LockableBackBuffer;
D3Dpp.SwapEffect = SwapEffect.Discard;
D3Dpp.PresentationInterval = PresentInterval.One; //wait for vertical sync. Synchronizes the painting with
//monitor refresh rate for smoooth animation
D3Dpp.Windowed = true; //the application has borders
try
D3Ddev = new Device(Manager.Adapters.Default.Adapter, DeviceType.Hardware, pictureBox1.Handle,
CreateFlags.SoftwareVertexProcessing, D3Dpp);
D3Ddev.VertexFormat = CustomVertex.PositionColored.Format;
D3Ddev.RenderState.Lighting = false;
D3Ddev.RenderState.CullMode = Cull.CounterClockwise;
//load imagesBmp to panelTexture
//panelTexture = Texture.FromBitmap(D3Ddev, imagesBmp, Usage.Dynamic, Pool.Default)
backTexture = TextureLoader.FromStream(D3Ddev, mymem);
//scannerTexture = TextureLoader.FromFile(D3Ddev, @"D:\Buttons\Radar\radar.png");
scannedCloudsTexture = new Texture(D3Ddev, 512, 512, 1, Usage.Dynamic, Format.A8R8G8B8, Pool.Default);
//sprite is used to draw the texture
D3Dsprite = new Sprite(D3Ddev);
return true;
catch
return false;
The 3 dll files are: Microsoft.DirectX.Direct3D.DLL, Microsoft.DirectX.Direct3DX.DLL, Microsoft.DirectX.DLL
The question is why he is getting this exception ? Realy it dosent see/find the dll files ? Or maybe his machine not supporting this directx files ? Strange.
Another thing when i put my mouse on the hard disk on the dll files i see a baloon tip say the:
File description: Microsoft Managed Direct3D Debug 
Maybe the problem is that the dll files of the directx belong to the debug directory but i make my program to be build in the release directory ? 
In any case i can't find any solution yet. This is the exception message:
System.IO.FileNotFoundException: Could not load file or assembly 'Microsoft.DirectX.Direct3DX.dll' or one of its dependencies. The specified module could not be found.
File name: 'Microsoft.DirectX.Direct3DX.dll'
   at mws.ScanningClouds.InitializeDirectX()
   at mws.ScanningClouds.ScanClouds_Load(Object sender, EventArgs e) in d:\C-Sharp\Download File\Downloading-File-Project-Version-012\Downloading File\ScanningClouds.cs:line 142
   at System.Windows.Forms.Form.OnLoad(EventArgs e)
   at System.Windows.Forms.Form.OnCreateControl()
   at System.Windows.Forms.Control.CreateControl(Boolean fIgnoreVisible)
   at System.Windows.Forms.Control.CreateControl()
   at System.Windows.Forms.Control.WmShowWindow(Message& m)
   at System.Windows.Forms.Control.WndProc(Message& m)
   at System.Windows.Forms.ScrollableControl.WndProc(Message& m)
   at System.Windows.Forms.ContainerControl.WndProc(Message& m)
   at System.Windows.Forms.Form.WmShowWindow(Message& m)
   at System.Windows.Forms.Form.WndProc(Message& m)
   at System.Windows.Forms.Control.ControlNativeWindow.OnMessage(Message& m)
   at System.Windows.Forms.Control.ControlNativeWindow.WndProc(Message& m)
   at System.Windows.Forms.NativeWindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)