The d2gfx.dll file is part Diablo 2 from Blizzard Entertainment. This is a legitimate part of the game, but the file is commonly edited to create a cheat that allows users to run multiple copies of the program at the same time.
The file on your hard drive might be the official Blizzard dynamic link library, or it could be an edited file. If it is an edited file, it may have been edited incorrectly or even maliciously, and that would result in an error when you attempt to run it or at Windows start up. If you do not have the cheat installed, then the original file may have been moved or corrupted.
To fix the error, you could reinstall the game, and possibly lose any progress you’ve made. A less potentially damaging option would be to run a registry cleaner, like ZookaWare PC Cleaner, and fix the problems, guaranteed. ZookaWare PC Cleaner offers your money back if we can’t fix your computer, so give it a try and get back to hacking and slashing.