If you extracted the TXT+DLL locally, then you'd be vulnerable, because the problem is that the TXT file is the current directory, and something (WordPad and Notepad, maybe, or Explorer itself) is searching for a DLL that doesn't exist elsewhere on the system, and one of the places searched is the current directory.

All the stuff about WebDav being necessary for a successful attack is because they're assuming someone can't drop a DLL onto your system. But if you unzip a package with a README.txt in the same folder as a DLL you would be vulnerable.