http://msdn2.microsoft.com/en-us/library/d14wsce5.aspx
Implicit linking is using a .lib file. Explicit linking, aka dynamic linking, is using LoadLibrary and GetProcAddress.
You should. But most times you only need to use implicit linking (.lib file).
Dynamic linking might be useful if you need to, for example, load all dlls in a certain directory (for example, plugins).