The .dll that you downloaded likely came in the form of a Zip file.
You're gonna need to extract that mug onto your desktop (or wherever else you want it/need it to be).
Once you've gotten it extracted where you want it, you'll need to launch that injector again and browse for the .dll where you placed it, select it, find your process that you'll be injecting into, and stab it in.
Hope I helped, ja ja ja. Cheers!