It has to do with the difference between "implicit" linking and "explicit" linking. The one sentence answer to your question is that that .lib file, often called a "stub lib" and officially called an "import library", is necessary when you do implicit linking but not otherwise.
In implicit linking, at compile time the compiler generates external function references for calls into the DLL, then the linker needs to link those to something: it uses the import library to help it do that. The linker treats these calls as special cases; it inserts code in the executable file for finding the DLL and for calling into the DLL for specific functions.
From the point-of-view of the programmer, implicit linking behaves like static linking except the DLL needs to be somewhere where the system can find it when the application is run or the system will pop up an error dialog at application startup.
Explicit linking means that it is the programmer's responsibility to find and load the DLL and to know what functions are in the DLL and how to call into them. See LoadLibrary and GetProcAddress for details. Explicit linking is useful if usage of a library is conditional or for applications with plugin architectures in which the actual DLLs to be used may not even be known at compile time.
In general though, if implicit linking does what you need, it is easier to just do it that way.
