Many thanks to JCL, and to all the nice people who gave their input.
I put
PLUGINDIR = "dummy";
in the wdl file of my level, and published the level like I did before. I then copy/pasted the 5 files I obtained (acknex.dll, palette, mysaver.scr, mysaver.wrs and d3dx9_30.dll) into the C:windows/system32 folder, and I also added an empty folder "dummy" there. This way, the engine does not look for plugins in the windows folder, but in the empty "dummy" folder.
Now, when I click on myscreen.scr, the level launches perfectly.
Great! 
However, I still do not see anything that looks like "mysaver" in the list of screen savers I get when doing
right click ->properties -> screen saver.
Isn't it supposed to be there somewhere, so that I can select the level as screensaver?
I really feel like such a pest, but I promise: if I ever get it to work, I'll write a tutorial so that the whole community can benefit from this.

Thomas