Actually - in my case, that didn't work.
More technically correct would be:
Put it in the bin folder under the location of the Spellcheck.aspx - and a virtual subdirectory (in IIS) won't work.
When Spellcheck.aspx is dynamically compiled the first time, it will look for the SpellChecker dll in the bin directory directly beneath it by default.
I figured out the problem once I realized what page was getting called when the spell checker button was being pressed.