Well... if you are asking if a virus can be inside a DLL, then the answer is yes. For example, Nimda virus overwrites the system file riched20.dll with itself, thus infecting any process using this library.
However, you can't just "start" a dll (e.g. by doubleclicking on it) - you need an application (.exe) to load it. So... the primary infection has to be done by some infected executable file. If you avoid the infection (by not allowing the infected .exe to start), then your DLLs should not get infected.
Unless, of course, you have some open shares and somebody is overwriting your DLLs from outside...