hi,dll files are the engine of a specific vst instrument or fx...don't bother to click on them as nothing will happen mate..here's what to do to install your vst's.
1 - copy and paste all of your dll files...the ones with the little cogs on to a new folder and name it vst plugins or whatever you like
2 - open up live and go to preferences
3 - here you can set where your vst plugins and fx are located
4 - press scan
5 - all done!!!
just remember to copy all contents including any patch banks that came with your cd to the same folder as your dll files....
hope this helps