Dynamic link libraries. They're essentially windows libraries of commands that programmers can tap into to stop them reinventing the wheel each time they code something
Directx is the example that pops into my head now, probably because I've been looking at it relatively recently - but if you grab those DLL's and you're coding in a .NET language such as C#, you reference them and then use their functionality instead of writing all the directx stuff from scratch (which would take a long time!)
If you're familiar with java library jars or so files (shared object) files on *nix systems, they work along the same sort of lines.