Copy the DLL in the build location next to the executable, for Visual Studio this is typically \Debug or \Release in a architecture dependent sub directory (i.e. x86 or x64). Just make sure the target / output locations are set correctly in the project settings.
You have to copy only once, or more correctly: each time after you 'clean' the solution. To make this easier, many people use a dll-copy script (use batch, ruby or python) and have it run automatically before building or after cleaning. You can execute the script in a pre-build step or post-build step that can be configured in your Visual Studio solution or project settings.
There is also a more robust way to handle build artifacts and peculiarities: I highly recommend the use of CMake to keep the build matrix organized. It is provides a general cross-platform approach to script pre-build and post-build actions such as tracking dependencies, copying files, packaging installers, deployment, version verification, versioning, etc.. it comes with an easy scripting language so you can build macro's and functions to do your copying. It can be a bit of a learning curve to get it right, but once it's there, it provides a robust dependable way to build out your project build pipeline.
