<p>I'm working on a setup which <em>wants to include the Microsoft.Web.Services3 (WSE 3.0) DLL</em>. However, I typically do not like including Microsoft DLL's in our installs except by way of Microsoft's redistributables. There is both a developer and a redist install package available from Microsoft.</p>

<p>So, as a best practice, should I include the single DLL in my install or refer them to one of the WSE 3.0 installs (assuming they do not already have it installed)?</p>

If you don't include it you should at the very least link to it directly on your site or have your installer open the web browser to it (or even download it automatically).  Or better yet, include the redistributable in your software package.
However, if the DLL is not very large and you suspect that few users will have it, in the interest of a better user I would prepackage it in the default installer.  However, you can always have an installer that does not include it for those who want a smaller installer... a great deal of other vendors do this all the time.