you may want to check your install folder of d2 annihilus if the said D2Ex2.dll is in this folder. If not, its probably due to your firewall/antivir deleting some files while the install process because some antivir think annihilus is a virus (which it is obviously not).

i had alot of trouble too with installing this mod. I always had to check several settings of my antivir and sometimes even disable everything in order to get a clean installation. I would recommend to safe the first copy of a running game folder onto an usb stick or some external memory. I always use my usb stick for a reinstallation, since that worked best for me so far :x

gl getting that great mod to run!