Usually you will use this to load extension modules for PHP. Let's assume that you compiled PostgreSQL support as a loadable module, e.g.
./configure --with-apxs --with-pgsql=shared
You will then get also "pgsql.so", and in the scripts where you need to use that, you will put at the beginning, so you can then use the pg_* functions:
<?php
dl("pgsql.so");
...
?>
Look also at the "extension_dir" config statement. I would recommend looking at the latest CVS manual where there is some more info.