>>Just copy this file there where the program is installed.
>
>That's what I've done. Just don't understand what's the point of adding it to the project? All files (icons, images, etc) that I add to the project is intended to be "bundled" with the .exe, so there is no need to distribute them along with the executable. Thought that with the .fll it should be the same.

Add it to the project, but mark it as excluded. This is not really necessary, but that's what I do, as a reminder to myself. That way I can easily see that all the files in the project directories are also included in the project itself.