What's a .DLL file?

[jer]

I've heard it's used for system32 files, but is it different then a .EXE?

[Didgy]

DLLs are commonly used for shared, reusable libraries, to save developers writing the same functionality over and over... where an exe is a standalone executable (that probably loads a tonne of DLLs to do the common functions).

[Long Ago [Linux]]

DLL means Dynamically Linked Library. DLL files are common functions that multiple programs may load and use when required (the dynamic part), so the exe files do not have to contain common functions that are done repeatedly by different programs (input/output, etc.).