Many *nix applications are being now ported to Windows and when you try to run them, they display missing phonon.dll file error messages specially if the program is Multimedia kind.
Here are the files you can download :
Download these files and copy them in application’s directory. For example, if you are using KDE 4 Windows, then place these files in KDE4’s bin directory – where all KDE4 executables are placed.
You can try placing them in Windows system directory too.