How do I delete .dll file ?

I got a cyber std which tells me to buy license for something called Mail.dll. It drops alert message every 10 minutes and I can't find that .dll file in my pc using search and I can't delete it.

I'm noob in PC's. Tried searching for solution using google but couldn't find anything.

Install a good virusscanner if you not already haven't,
Install and run spybot search and destroy,
Install and run HiJackThis to find out if there are any problems,
Last but not least.... backup your valueable data and reinstall windows in a clean state.
As you state that you're a noob in PC's, make use of google.
Good luck.