How to stop MISSING DLL FILES error

I play games on my pc.And when i click on .exe file when i install a new game,i get a error that ***.dll file is missing.How can i stop that error.I get this error on many games,and i want to get rid of this.Is there any way to stop this error.....
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    Was the file there when you searched for it? If not maybe you could try downloading it somewhere. Just a guess.
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