A GEDCOM is a single file, with data. DLL's are Dynamic Link Libraries that tell your computer how to do things. For instance, the little window that pops up to ask you where a file is when you click on "Open" is part of a DLL. Programs can share DLL's. If the "Open file" window in two programs - Paint and Notepad, for instance - looks the same, it isbecause they use the same DLL for that task.
If your PC is missing a DLL, it sounds like you didn't download everything you need, or the DLL got deleted, or something else is wrong. You might try a couple of things.
First, copy the GEDCOM to the directory that has PAF and try to import it from there.
If that doesn't work, back up your data, twice, download PAF again and see if there was an option you missed the first time. Downloading the program that manipulates the data shouldn't harm the data; the backups are just in case.
If that doesn't work, write down the file name of the DLL that PAF says is missing. Use the Windows explorer to see if you have it anyhere on your PC. If you do, try copying (not moving - copying) it to the directory that has PAF. If you don't have it, ask your friend if she does. If she does, you are still stuck until you figure out how to get it, but at least you will know exactly what your problem is.