The dll is not an object (not programmatically anyway). It's a library or collection of classes. Think of "MyTelephone" as the library name. You need to create an object by instantiating one of the classes within the library. So in the example in your first post, you are creating an object that is an instance of the class "Telephone" from the library "MyTelephone".
As far as getting documentation, that's up to the provider of the library. You could very likely get a library that doesn't have a bit of documentation. But it's kind of hard to use such a beast. When you are working in a development environment that supports Intellisense, you will usually get a list of properties and methods (collectively known as "Members") of a class when you hit the period after the instance variable name of the class. Here's an example. In your development environment, such as Visual Studio you type the following to create an instance of a class from the library.
Set objTelephone = Server.CreateObject("MyTelephone.Telephone")
At the end of "objTelephone." (where the pipe symbol is representing the cursor) you would get a little list box that pops up and shows you all the publicly accessible members of that class. When you choose a function, you'll usually get a tooltip with the function signature so you can see what you need to pass into the function to make it work.
Without these helpful features, you have to rely on documentation to know what members of a class are available and how to use them.
Hope that clarifies things a bit.