>I'm using _cryptapi class to encrypt some data in one of my apps.
>
>Do I need to distribute any DLL along with it when the app is deployed on costumers' machines.

Generally no, as it comes with Windows.
Beware of CryptoAPI. MS has made changes between OS so unless you do some extra work a string or file encrypted with XP cannot be decrypted with WinXP and viceversa. See the links pointed to by Tracy plus http://fox.wikis.com/wc.dll?Wiki~CryptoAPI

Unfortunately MS dropped the ball and basically abandoned it in favor of .NET Crypto spaces.

If you use PCs with different OS, do yourself a favor and get rid of CryptoAPI and replace it with Craig's VFP Encryption
http://www.sweetpotatosoftware.com/SPSBlog/PermaLink,guid,db662a8f-d47c-46c8-b0d2-a591c20d024b.aspx