Pythonwin not loading DLL, should I change extensions by .pyo or pyd?

[Pekeika]

Python 2.5 doesn't support/load .dll anymore. Is PythonWin 2.5 the
same case?

If a .DLL file is not loading, should I change its extension for it to
work?
What extensions should be now, .pyo, .pyd, etc? which one?
What is the meaning of each extension?

Thanks,
Angelica E-G.