Embedded python can't find *.pyd under Win32/VC 6.0

[Ilia]

I am embedding python application into some C++ application. I have
successfully compiled the application and it loads pure python lib
modules (disposed in regular location in python installation) ok.

But when some pure python module tries to load an extension modlule
(*.pyz)
like:

import zlib 

(and zlib is zlib.pyd module) embedded Python throws an exception: 

No module named zlib

But regular python loads this module ok...

Any ideas how to make embedded python see extensions? I put the
modules in different pathes (including those where visible pure python
modules live) -
it does not help...

Ilia