Add a dll directory from which to DllImport native code.

Test.fs

open System
open System.Runtime.InteropServices
open System.ComponentModel

[<DllImport("kernel32")>]
extern int AddDllDirectory(string NewDirectory)

[<EntryPoint>]
let main argv = 
    let result = AddDllDirectory("c:\\")
    if result = 0 then
        printfn "%A" <| Win32Exception(Marshal.GetLastWin32Error())
        // Prints: "System.ComponentModel.Win32Exception (0x80004005): The parameter is incorrect"
    System.Console.ReadLine() |> ignore
    0 // return an integer exit code

Code is being run on a Windows 8 machine, btw. I'm aware you need to apply a patch to use this api call on earlier versions of Windows.

Mystery solved here for those who are interested.