PHP comes default with a directory specially suited for extensions - by default it is located @ php/extensions, try not to change that as it's easier to manage when you upgrade PHP.
Make sure your extension directory is given execute rights for IUSR_machinename or the appropriate UID for your web server and try not to have spaces in your path to PHP. Various people have mixed results when they install PHP in "C:/program files/php" for example.
I've seen extensions act strangely - for example, extensions that would only be loaded if PHP was run as an ISAPI module instead of CGI (and in such rare case you probably need to put it in a more well known windows dll directory such as system32)but again these extensions are usually not the ones distributed by the official PHP ZIP distro and probably needs a recompile to make sure it adhere's to the PHP's directory structure.