DLL means 'dynamic link library', and is basically a way to share common functions between applications. If you are eg, writing a series of applications that will involve complex calculations then instead of writing the same function in each program you write, you can write the functions in a DLL and then just 'include' that into your application.
This helps by making sure each application has the same version of the function, and you can just update the DLL rather than each program.
You create DLLs using a 'higher-level' language like C+++/delphi/etc so you will need an appropriate editor like visual studio, borland etc.
I wrote a article on the wiki about how to create DLLs for use with lite-c and c-script...
http://www.opserver.de/wiki/index.php/Writing_a_basic_DLL
