Executables

Check the "Start in" path in the shortcut on the menu.
It should have the directory where you installed the .exe

There is a variable in inno script that allows you to set
the "Start in" path of a shortcut.

you just add the .dll's as files to be installed in the same
folder as the .exe

[Icons]
Name: "{userdesktop}\ESP"; Filename: "{app}\ESP.EXE"; WorkingDir: "{app}"
Name: "{group}\ESP "; Filename: "{app}\ESP.EXE"; WorkingDir: "{app}"
Name: "{userdesktop}\ESP UpdateTool"; Filename: "{app}\ESP UpdateTool.EXE"; WorkingDir: "{app}"
Name: "{group}\ESP UpdateTool"; Filename: "{app}\ESP UpdateTool.EXE"; WorkingDir: "{app}"
Name: "{group}\{cm:UninstallProgram,ESP}"; Filename: "{uninstallexe}"