What is it?
Run a DLL as an App - rundll32.exe

What does it do?
Direct Quote from MS: (Source)
Microsoft Windows 95, Windows 98, and Windows Millennium Edition (Me) contains two command-line utility programs named Rundll.exe and Rundll32.exe that allow you to invoke a function exported from a DLL, either 16-bit or 32-bit. However, Rundll and Rundll32 programs do not allow you to call any exported function from any DLL. For example, you can not use these utility programs to call the Win32 API (Application Programming Interface) calls exported from the system DLLs. The programs only allow you to call functions from a DLL that are explicitly written to be called by them. This article provides more details on the use of Rundll and Rundll32 programs under the Windows operating systems listed above.

More Info
More Info

Virus Precaution:
The original file from Microsoft gets placed in the Located at C:WINDOWSSystem32 undll32.exe . If you find it anywhere else then you should be suspicious for sure.

You'll want to keep an eye on this google search for any known viruses.

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W32.Miroot.Worm @ Symantec
Backdoor.Lastdoor @ Symantec
Trojan.StartPage @ Symantec