Prior versions of Allegro 4 allowed building these all into one dll file, alleg44.dll. How to do instruct CMake, or mSvC9 to do this with 4.4.3?

This is just a matter of linking the static versions of those libraries. It may be easiest to specify the the libraries directly like `-DJPEG_LIBRARY=... -DPNG_LIBRARY_RELEASE=...`.