yes all the dll files are provided with the exe file provided by Microsoft.
But be carefull while installiing all this stuff on your system. There should be a specific order so that you should face any trouble in the future.
1. Install Windows 2003 OS (which supports for WSS )
2. install IIS
3. Install VS 2005.
4. Install SQL Server 2005 sp2 with reporting services in mixed mode authentication.
5. Install framework 3.0
6.Then Install WSS 3.0 in your system