Question: I write a program helloworld.exe; it depends on a.dll. I don't have the source code of the a.dll, which is a dynamic dll. How can i change it to static library, so I can link it into helloworld.exe?

Answer: 
As Jerry said, you cannot do it directly. You can, however, package your program into something like a self extracting RAR file which includes the DLL as part of the single EXE, which automatically extracts the EXE and associated DLLs to a temp folder and starts the main program.
False, it is possible to do this. For example there is a tool called [dlltolib](http://www.binary-soft.com/dll2lib/dll2lib.htm) which can do it.