I'm assuming you have Visual Studio...
If you're just trying to add a dll, you can add a reference to it by right clicking on your website node and choosing "Add Reference..." .
You will be able to debug the dll if you have its pdb along with it (to load the symbols from). You will NOT be able to edit the dll.
If the dll is in fact another project you have the source code for, just add the project to your solution, and from your website project add a reference from the "projects" tab. VS should add a reference and dependency so that it keeps the dll updated when you change code in your dll project.