Here is the best explanation for deploying applications->
https://qt-project.org/doc/qt-5.0/qtdoc/deployment.html
The .dll files are libraries which can be found in Qt's installation folder.
Static linking is where you merge all your needed libraries inside the executable file making it bigger in size.
Shared libraries is where you deploy the needed libraries with your executable file.
Both have ups and downs which are explained in the link above, the main issue with static linking is that the executable file will be bigger, depending on your application, but you won't have issues of library files wouldn't be compatible if you release a newer version for the application.
With shared libraries you get a smaller executable and on "update" you will deploy only the executable and newer/modified files,but if a newer version was made using different Qt version then the original application you would need also to redeploy the libraries,depending on the difference between Qt versions used. This is also explained in the link above if you look into the links in the deployment page.
I suggest you do some documentation on deployment to see which is more suitable for you and look in both cases static and deploying with shared libraries.
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