I know its important, you need to leave it running and it is there all the time. It is a file that comes with Windows and it stands for "run dynamic linked libraries". What exactly a dll is I am not sure but I think it is used by 1 application to trigger other events. For example in Win 98 running c:\windows\rundll32.exe User.exe,ExitWindows will close the computer down.
If it crashes you can get bad problems.