DLL is some a library, every windows system comes with some pre-programmed librabries.
You have to go to school and you need to take your all books with you.
That would become a heavy briefcase don't you think?
A solution to making it weight less is to keep your books in school, and just taking a few books back home and back to school.
Now a DLL is actually just a storageroom of methods/data for the executables you want to use, if your executables would have to take all those methods and data with him everytime then the executable would be HUGE in size. So Microsoft got the idea to make pre-programmed storagerooms so they don't have to take it with them everytime. But don't expect everything to be in there, you will sometimes still need to create your own methods/data but they will always be based on other DLL's/Libraries/Storagerooms.
Btw, mind showing us some pics or a video of the error?