There is no problem to make a circular path for light, but I actually don't know how 2 (just 2) entangled photons are created.

If I understand, you say that I can send one of the photon in a delay line while the other photon goes into free space toward the target and untill it reaches the target both photons will remain entangled?

There do not exist entangled photons because they do not interact. See review in arXiv:1106.0610v2. There can exist entangled atoms or molecules because they can interact. It is very sadly to see all this confusion

Entanglement has nothing to do with photon interacting or not. For two photons that are entangled, the state vector cannot be written as the outer product of the two states of each photon separately. This is the definition of entangled states. Where is the confusion?

I advice you to read "Quantum Entanglement" in Wikipedia. Besides, we should understand that any group of particles can be created by some interaction only.

An entangled system is defined to be one whose quantum state cannot be factored as a product of states of its local constituents, that is to say, they are not individual particles but are an inseparable whole

Your answer is correct but not full. The fact of the matter that we have to prepare ES from free particles in the simplest case. This preparation is not so simple in this simplest case because we must use quantum collision theory. I hope to finish paper devoted this issue.

My last question was if one of the photons is sent to a delay line, will they still be entangled?

They still be entangled if the delay line is weak enough not to change properties of photon.