RDO is truly ancient, but if you must use it see the redist instructions at INFO: Deploy database applications with the Package and Deployment Wizard (PDW).

SHFOLDER.DLL is part of the OS in newer versions of Windows (i.e. since Windows 95; Windows 98; Windows NT 4.0). If you must redist it to one of these ancient OSs use Platform SDK Redistributable: ShFolder DLL. There is no clean way to deploy this from within a PDW setup without modifying Setup1 to recognize it and run it somewhat similarly to the way Setup1 looks for MDAC_TYP.EXE as a special case. However if you take these steps and Setup1 runs the ShFolder.exe as required, it detects any later ShFolder.dll already present and terminates with no action rather than overwriting the "better" one already in place.
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ShFolder DLL
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The SHFOLDER.DLL may only be redistributed as part of SHFOLDER.EXE. You may
not redistribute COMCTL32.DLL except by using SHFOLDER.EXE. You may not
modify SHFOLDER.EXE

SHFOLDER.EXE is a self-extracting executable that will install the SHFOLDER.DLL
only if there is not a more recent version of the SHFOLDER.DLL in the system
directory. SHFOLDER.EXE will write the registry keys required by SHFOLDER.DLL.
SHFOLDER.EXE may be used on Windows NT 4.0, Windows 95, or Windows 98.

In addition to the rights granted in Section 1 of the Agreement ("Agreement"),
with respect to the SHFOLDER Redistributable Code,
you have the following non-exclusive, royalty free rights subject to the
Distribution Requirements detailed in Section 1 of the Agreement:

(1) You may distribute SHFOLDER.EXE