Hi!
Download the dll file again and try it again. It should not tell you that it is a wrong dll. By the way this method considered as plan B to return stock. I know it looks like more familiar because of odin. If you really want to set up everything before your phone arrives then check this thread http://xdaforums.com/google-nexus-5/general/resource-guides-info-threads-linked-read-t2784527 it is a collection of guides. The most important thing is adb and fastboot for nexus devices http://xdaforums.com/google-nexus-5/general/noob-read-adb-fastboot-how-hep-t2807273
Thanks bitdomo. Just uninstalled everything and started again and this time no error . I will definitely check those links out. Thanks again.