You can examine these files for better understanding, but they're meant to behave as plumbing. It would be better for maintainability if you kept your custom code separate.
The 'engine.js' and 'util.js' files are inside the DWR jar, in the folder: org/directwebremoting. The engine.js file contains some ${...}
variables that are replaced by the servlet before the file is sent to the browser. The util.js file contains no such variables.
The interface files are more complicated. I have never needed to make changes or customize these (which is good design on DWRs part actually). My guess is that the interface based js file(s) are generated by what you configure in dwr.xml and DWR's use of the reflection API to read the Java helper class and generate a Javascript-stub to map to it. You can view these file(s) by pasting the URL from your <script src=".../dwr/interface/filename.js">
into a different browser tab.