DLLs are files that share the capabilities of one language with another. In short - they let you do things in a certain language (like DB) normally couldn't be done, or would be very hard to do.
You can use DLLs in DBC by using DBC's DLL commands (check the help files)
As for making them, DB can't. DLLs are usually made in C++, C, Delphi, and a few other languages so that the advanced capabilities of those languages can be used in Dark Basic. DB programmers have made Dark Basic compatable DLLs that are used for precise collision, physics... et cetera.