A dll is a file which contains functions and/or classes that have been compiled. Generally these files are written in C or C++, or possibly VB or C#, and then compiled into the binary dll. You don't open the file, but rather access the functions/classes through code. In Python, you'd do that with ctypes, swig, or another ffi library. But you have to have some documentation about what callables are in the dll, what arguments are required, and what the return values are, or the file will be of no use to you.
good luck,
Mike
