How to load a .dll library?

Hi, I am using Sybase SQL Anywhere like a database server to deploy a database for a pocketpc, and I want to make a java application for it.

For this I have to use a jar archive (jul9.jar). I set this jar for this project in Intellij IDEA, and everything is fine at the compile time. But at running it needs jul9.dll, and I don't know how to set it for this project in Intellij IDEA. I have this .dll library, but how and where to make the setting.

Thanks and hope somebody has an advice for me