You're not trying to run gpedit.dll...you need to run gpedit.msc. Try my version with an installer (http://www.robertthompson.me.uk/xptricks/gpedit.htm) if it still won't work. The installer makes sure everything goes where it needs to. Then try running gpedit.msc from the start menu. =)
I've had that error. It doesn't seem to matter.
Anyway, I've managed to work a DOS installer into this package so you don't have to manually copy, paste and register the files:
http://www.robertthompson.me.uk/GPedit2.zip