I found out an interesting fact about adding references to 3rd party dlls in VS2003 projects (have not tried this in VS2005). If, when browsing to the dll, you go through "My Documents" the dll will be placed in the the project file (*.csproj) with an absolute path. If, however, you store the dll in some 'normal' folder on the hard disk (C-drive typically), then the added reference will placed in the project file with a relative path.
The reason for this behaviour is probably that "My Documents" is treated as a mapped network drive.
This tid bit is not going to be of much interest to you unless you share your project files with other developers, then it will cause you pain if your paths to the project files are different. The lesson is not to store your code under "My Documents" :)