Cool.dll was originally introduced with Microsoft Plus! 95, a package designed to extend the functionality of the OS with things like themes. The DLL actually contains quite a few kewl things if you look into it (albeit mostly aged by now), such as some icons from back in the day and some very un-useful and long replaced calls.

Now for the bonus question, can anyone tell me why the core of IE (SHDOCVW.DLL) is called SHDOCVW.DLL?