A dll is a library of functions, you'll find several hundred in your Windows System directory as it the Microsoft convention for packaging functionality.
Generally, they are written in C / C++ / C##, although other languages can be used.
They do whatever you want them to do. You might, for example, want to perform complex rotation calculations - oh, wait - Wolf has already done it and put it in a dll! What a fantastic example I came up with there (pats self on back).
If you need to ask the question, you probably don't need them, or have the knowledge at the moment to create them. There are a handful already available from other developers, check out the Dll Talk Forum. There's also a lot of discussion on how to make them.
BatVink
