There are ways to get around it, though.
But in your case, I wouldn't recommend deleting it, unless you're bored and want to reinstall Windows.
The rundll32.exe file is located in the C:\Windows\System32 folder. In other cases, rundll32.exe is a virus, spyware, trojan or worm
Well, it depends on where the file is. Any old virus can name itself rundll32.exe and plant itself in your system HOWEVER, this is also a file needed for Windows to run, and unless youre 100% sure that it's a virus or some sort of infection DON'T DELETE IT. It's best just not to touch anything in your C:/Windows/ directory.
Basically. Get a virus scanner and generally you can right-click on certain files and scan them for virus'.
Don't delete it!