The easiest way is to copy it to your "exe path". Neko puts the standard ndlls in its central install location.
Hxcpp has special code to find its libraries based on the haxelib setup.
Nme + Openfl automatically copy the ndll files to be next to the generated exe, or in the directory you run it from.
This last option is probably the best - manually or from some build script copy in the ndll dependencies.
Hugh