You can close any process that you wish and it won't physically harm anything. It may close applications that you are using by doing so, but the worst case scenario is having to restart.
Did you scan with AV software? You didn't mention anything further about an infection.
If you suspect that there is a problem with RUNDLL32.EXE, open a command prompt (type "CMD" in Run) and type "SFC /SCANNOW". I'm not entirely sure if RUNDLL32.EXE is one of the files that it checks, but I would assume so. If it finds a problem with the file, you will need your Windows CD.
Either way, go ahead and perform a virus scan. It can't hurt and since you think something is wrong, it's one of the first steps. If you don't have AV software installed and are having trouble installing anything at this point, try an online scan.
http://housecall.trendmicro.com/
http://www.bitdefender.com/scan8/ie.html
http://security.symantec.com/
I hate Symantec AV, but it's only an online scan and you're not having to install that piece of crap.
By the way, I know everyone has a slightly different opinion about their favorite anti-virus software, but personally I like Avast because of it's boot-time scan feature. Viruses are tricky to get rid of while the OS is running and the boot-time scan gets around that. So, if you need one, that is what I recommend.