Try getting the new PHP 4.1 build and get the php_gd.dll from there. That should help with all functionality, but as far as install goes, all I did was exactly what you did, but I put all my php_*.dll files in C:\WINDOWS\SYSTEM (or on win2000, c:\WINNT\SYSTEM32), as well as in c:\php\extensions
Everything works fine. I have JPEG, PNG and TTF support. The only thing is now, I can't run GD 2.0+ functions (TrueColor functions etc...).
I downloaded the compiled version of GD 2.0+ from Vladimir, and installed his dll, but it lacked TTF support...