Do I need to worry about the error?
It's puzzling that you'd get this error message. ExtendScript.dll is part of a standard library that gets installed with just about every Adobe application. Since you have other Adobe apps, do a system-wide search; you should find several instances. If you find the file in your Photoshop (or other Adobe app) install folder, copy it over to your Illustrator install folder (the one containing illustrator.exe).
Also worth a try: This might be totally off the mark, but follow the directions in this knowledgebase article for manually registering jscript.dll. (I realize the article deals with a different problem, but registering jscript.dll does no harm and is worth a try.)
If it persists and it bothers you, you might simply download and install the ExtendScript toolkit: http://www.adobe.com/devnet/scripting. I am not certain, however, that doing so will solve your problem.
Finally, you might consider contacting Adobe to have your installation disk replaced (although I'm not sure they'll do that for a discontinued product.)
Dreamweaver CS4 and Photoshop CS4
The file may actually be there, but because of your version mix, its hooks may not point to the right version based on a wrong Registry key. If you don't use any scripts, it should be nothing to worry about. It's strange, though, I'm running CS3 and CS4 in parallel as well and never had such issues. Really shouldn't happen...