Where is my .dll file?

So I was following along with the Twins Stick Shooter instructional video series and I was on the bit where I was going to create a base class and use Visual studios to write the C++ script, So I created the base class file and it said I needed to recompile so I did. When It started up again it said that my .dll file was missing and asked if i wanted to rewrite the file myself. I just want to know how to stop this from happening again.