iefdm2.dll is a program that is usually installed by the same user. You can find it located in a subfolder of C:\Program Files or C:\Windows. This file is a browseer helper object that runs automatically every time you reboot your PC. Typically, BHOs are not stopped by firewall because they are thought to be the browsers. However, note that it is capable to monitor it and record the inputs. While this program is not a core file in Windows, it can be uninstalled if it causes problems for you.
iefdm2.dll may be used by malware programs to hide their existance on victim's computer, so always check the file location on your hard drive and pay attention to the spelling. The actual disk location is C:\Program Files or C:\Windows. If it is different, this file may be related to malware, rogues, worms, trojans and other viruses. In this case, we highly recommend runing a full system scan with reputable anti-spyware program, like Reimage and similar: