I don't think he's talking about opening a *.dll file.
You mean the Run DLL as an App has encountered a problem, need to close, bla, bla bla...error, don't you?
That's usually related to the Control panel but it can be related to something else to, like opening a program or can even pop up when U open Windows, as far as I know...
So, where does it pop up ? More info!!!
It's usually related to Windows rundll32 or it could be a virus.
1. Check your Task manager procesess tab when this error happens.
2.Look first in Start > Run>msconfig at startup and at services for weird names or rundl (with 1 L) and uncheck it.
3.Give your Pc a scan with Malwarebytes
4. Try a System restore.