A dll file is a dynamic link library which is a piece of computer code that can be shared by many different programs. They come with windows, so you can't download them by themselves. You have two options:
1) find someone with your version of windows and try to get them to find that file on their computer and copy it to the same place in your computer
2) give up and buy the $199 version of win xp which would be the full version and wouldn't require you to already have any files.
If 1 doesn't work, you are stuck with 2.