This experience with the missing dll displayed a rather useless installer.
Doing a Repair was a rather bad idea as it installed Everything even though it weren't installed to begin with.
I assume Repair also registered all available file extensions rather than the previously selected .btm
Later I found that uninstalling TCMD didn't uninstall Everything installed by Repair.
I also tried to install .38 on top of .39, which made it say that a newer version already had been installed,
(even though said newer version were useless.)
Having an option in the installer to force a downgrade would be nice in situations like the above.
In the end I had to uninstall TCMD, manually remove the Everything service (SC delete), then reinstall TCMD.
However, now I've gotten .40, and it works.