As Richard allready stated it's not possible to embed DLLs in an exe but you can copy the DLLs your program depends along with your exe.
Building openCV with its static libraries isn't very easy at the moment so it seems. I tried to do this myself a while ago but after some time considered that it would be easier just to stay with the DLLs. You can try and ask at the QA section of openCV
http://answers.opencv.org/questions/[
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