Shipping in C:\\Program Files\\Your Name is standard with Windows applications; DLLs aren't shared between different applications like in Linux, so there's no reason to use them.

Additionally, the Windows dynamic loader doesn't squish all DLLs into one global namespace like the Linux one does. Every time you call a function from a DLL there is extra friction, even for the programmer.

There's also the libc linking problem. Each DLL may get its own copy for libc, either because they are statically linked or because they are compiled with different versions. If you try to fopen in one DLL and fclose in another, or malloc in one and free in another, it's liable to crash. This might've been solved in the 20 years since I learned about it, though.