.dll stands for dynamic link libraries, in the windows environment.
It is a library file which is used at runtime. Sometimes when you try to run some applications, you get error messages like, so and so .dll was not found. That is, when application requests for such libraries and if they are not found they raise an error.
These dll files contain reusable piece of code. The code can be a function which is called from the original application (from the main function).
Some common dll files include msvcp71.dll, d3d9.dll, iterutil.dll etc.