For that, using Wine is a bit overkill; all you need is a PE loader and some glue code depending on what dll you are trying to load. You are much better off copying a few bits of Wine source into your app than trying to make use of the unmodified Wine dlls. That's basically the mplayer approach.
Perhaps, but for instance the quicktime codecs try and load comctl32 regardless so mplayer stubs that out and just tries to avoid triggering crashes - the whole thing is basically extremely fragile.
Plus there are things for which copy'n'paste isn't appropriate - the guy who was playing with Cubase VST plugins in Wine a few months ago for instance, VST plugins often require GUI support, registry, directsound etc etc.