A DLL file is a file containing computer code that a software program executes to perform one or more functions. A DLL injection is where code is forced to run in place of other code. This "injected" code is usually code written by a third-party developer, designed to perform some malicious function. It is not something the software program was originally intended to do and can cause harm to a computer.
It's not really known when the first DLL injection was introduced. However, today many possible types and uses for DLL injections exist. One of the basic uses is reading contents of a password text box to gain access to a computer user's private information. Most, if not all, of the uses for DLL injections are malicious in nature and potentially illegal. To help combat the problem, Microsoft introduced the "protected process" in Windows Vista, which is nearly immune to these DLL injections.