From the forum, haven't tested it:
"While you can do all the above with ActiveX, in fact there is another option to the ActiveX player - the Tools -> Build EXE function takes the main player EXE and compiles the .dxstudio document into it, producing a single EXE that you can distribute as you like without any other files. The EXE will also detect and prompt to install DirectX 9 if not found. This way you can choose to either redistribute the player and '.dxstudio' docs (more suitable for multiple docs or embedded use), or standalone EXEs (simple to use as all the user needs to do is run the EXE). "
"While you can do all the above with ActiveX, in fact there is another option to the ActiveX player - the Tools -> Build EXE function takes the main player EXE and compiles the .dxstudio document into it, producing a single EXE that you can distribute as you like without any other files. The EXE will also detect and prompt to install DirectX 9 if not found. This way you can choose to either redistribute the player and '.dxstudio' docs (more suitable for multiple docs or embedded use), or standalone EXEs (simple to use as all the user needs to do is run the EXE). "