World: r3wp

It would at least double the size of the Cheyenne binary, for a feature 
only a few use. I would rather prefer to provide links for downloading 
the right DLL for each Windows version.

All the software you are listing are bloated software that don't 
care to follow the basic rule of sharing libraries, especially when 
it's the libc.

I think that the following package installs the msvcr71.dll file: 
http://www.microsoft.com/download/en/details.aspx?id=5638

You are right, giving a link is better than including the whole dll.

What do you think about making a setup package for Windows? Including 
that dll and some configuration options during the setup, service 
mode default, etc.
If do you think its worth to do, I can do it.

One of Cheyenne's selling point is: no installation required :-)

@Endo, you can do it, and Doc can link to it :)