As a general rule, these tend to monopolize all the resources and devices of the computer, even though they're not actually using even 5% of the power of a modern PC.
The main usefulness of DxWnd is found when dealing with video games developed mainly for Windows 95 and 98. In other words, it's a program that will let you play games that you can normally only play on full screen, in a smaller window. DxWnd is a program that intercepts and alters the behavior of certain tasks that have been previously configured, so that instead of running in full screen, they run in a smaller window while still keeping their behavior intact.