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If you've looked around your hard drive a bit you've undoubtedly seen a bunch of these .dll files. These files are known as "dynamic link libraries", but unlike the libraries we're all used to where you borrow books, these libraries are where you go to borrow program code.
Some actions, like copying files, are so common that virtually every program is going to use them. So instead of having every program crammed full of the same common commands, those commands can be placed in a dll file where any number of other programs can use them. For example, the window you're looking at right now was created by a file called Shdocvw.dll. CacheMaster basically calls out to this file and says "hey, make me a window!" and the file does it. When this happens, the library file that is being called on is loaded into memory. So in this case, every time you run CacheMaster the file Shdocvw.dll will be loaded into memory along with it.
But what happens when you close CacheMaster? Typically the library file will remain in memory even though it's no longer being used. This isn't as bad as it sounds, though. Since the file remains in memory, any other program that needs to use it will have it readily available. This speeds up performance since the files don't have to be loaded from the slow hard drive. However, the balancing act is that if all your physical memory is being eaten up by unused dll files, then Windows will start tossing things out into the swap file, which means hard drive access and performance loss.
So if your machine is short on memory and always seems to have a huge swap file, then try checking the "Unload DLL's" option on the Tweaks tab. This will force Windows to remove the dll files from memory that are no longer being used. However, if your machine has 64 megabytes of physical memory or more, then it's probably best to keep this unchecked since your system will benefit from having the files already loaded in memory.