Screenshot seems to show you're not compiling but switching on the connected property to true while in design-time.
IIRC, the dll should then be in the Lazarus directory. Another alternative is to put it in the system directory, which I do on my dev machine.
When you compile the program, once again the dll needs to be in the search path (e.g. the system directory) or the executable directory.
This applies to all dlls used with Lazarus - or at least all database drivers.