I would run a repair on your SOLIDWORKS installation. Go to Programs and Features, Find your SOLIDWORKS, Modify (or change), select Repair the individual installation.
If you navigate to that location, does the file actually exist?
I had done the repair and still get the same thing. Yes the cosworks.dll file exist in the directory. Wondering if this was a Win 10 issue. I'd rather not do a full install of Solidworks to see if it fixes itself.
So it looks like the cause is specific to your environment, according to Knowledge base solution S-018842. Other wise the repair should have fixed it.
There is a PDF attached to the Solution, which give you a walkthrough:
In Control Panel, System, Advanced system Settings
On Advanced Tab of System Properties, click Environmental Variables
System Variables, select Path and Edit
insert a semicolon, followed by the path to your folder.
See if this fixes your problem. If not a work around may to to open SOLDIWORKS as an administrator. Find the direct link to start SOLIDWORKS in Program Files, Right Click and select Run as Administrator