What is a .dll file? Is the file the result of compiling the source code and in what format is it distributed?

It is a type of library commonly referred to as DLLs made from the initials of Dynamic Link Library.
Ask your Google teacher for more details.

If it's a .dll file, I think there's no reason for the source (because it's a library file).

I didn't know what you'd like to hear with the word
distributed. I can't give you an accurate answer to that, but if it's specific to the executable (.exe)
I think it should be provided with the executable.