.dll files

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.
 
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