dplay.dll is associated with Direct Play for windows and as far as I'm aware should be part of your standard windows install.
If you're using Windows XP have you tried running the System File checker to repair your system files? (i.e. running "SFC /scannow" from a dos prompt - you'll probably need your XP cd.) Failing this have you tried booting in safe mode and scanning, or just replacing the file with one you know is working.
Hopy this helps
Rgds
Havelock