[The Fifth Horseman]

I've unzipped dw2ptch3. But when I click on DW2WIN (Windows 95 installer) it says "The program can't start because cw3220.DLL is missing from your computer. Try reinstalling to fix this program." So I guess it wants me to install cw3220.DLL Now, am I playing with fire here? Are dll files important? I don't want to mess my computer up. I'm on Windows 7 by the way.

Depending on the file in question, DLL files can be very important, yes.
Adding it to your system is unlikely to fix the problem. The DLL in question dates back to Windows 95, so there's no guarantee it would work - and even if it did, there will likely be others that are either missing or no longer compatible with it. The DOS version is a more reliable choice here.

But when I go DOSbox, after I mount the right directory, it says "file dwb.exe not found"

Probably the file is not in the directory you're currently in (which, unless you switched to another drive, is the emulated drive Z).
You can copy the file using Windows - it's easier that way, and the only important part is that the patched dwb.exe replaces the original one - not in what environment that was done.

If you're getting any further "file not found" messages, please post either the text of the commands you're entering and the response you're getting from DOSBox or a screenshot showing that information.