Well, I definitely would not recommend deleting any DLL files that you aren't 100% sure about. Same thing with the Windows Registry entries. I always see people who are attempting to completely remove a program from their system, and they have a very vague knowledge of the Registry... so they go...
NickSo,
Not true about all DLLs being "very important to Windows." A DLL is basically just a file with function calls built in. The purpose of DLLs- you can link to them at run time, so that you don't have to compile your programs with the functions included in the compilation program...