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Great thinking on being careful when it comes to DLL files! DLL files are code libraries, which means a .DLL is just like a .EXE, and it can indeed contain viruses/trojans/bitcoin miners/etc.
You are right to never download a random .DLL "as-is" from the internet (just like you should never download random .EXE files). Not only you do not know which version of the DLL you need (if you get the wrong one it won't work or you'll have issues), you also don't know what's in it (hence the risk).
DLL that an application needs to run are called dependencies. Whenever you encounter a DLL issue with an application, you need to reinstall the dependencies from a trusted source. In this case, as with every Steam game, the developers provide the dependencies through Steam.
Thus, the proper solution for getting OpenAL32.dll for Hotline Miami is installing directly from Steam redistributables:
In any case, you can force Steam to manually re-provide OpenAL redistributable by opening the registry editor (Win + R > regedit) and deleting the "OpenAL" subkey from the appropriate registry key: