No, activesync does not "convert" the DLL - you just can't see it with the file explorer on your Pocket PC. It will always hide DLL files (as well as all file extensions). There is no way to configure it otherwise. However, you can use the free, shareware version of to perform advanced file management on your Pocket PC.
Also, gx.dll is supposed to be in the \windows dir (or in the same dir as the pocketquake.exe file), not in My Documents.
Dan East