I cannot find where lua-devel installs on

As a side note, nginx packages are available now in RPM format, so subsequent people shouldn't necessarily go through the OP's problems with building the software.

http://nginx.org/en/download.html

I don't know how Amazon Linux gets tagged in terms of yum setup, but RHEL5/6 are up there.

In the worst case, someone can grab the appropriate SRPM and rebuild from there.

http://nginx.org/packages/rhel/5/SRPMS/

Dlls (Dynamic Loadable Library) is being used only in Windows. For Linux (and BSD and probably most of unix-like OS'es) you have .so (shared object) instead. You probably need to change .dll to .so in php.ini or one of files included in it (it may be something like /etc/php.d/mbstring.ini or something similar).

Also, you can find path of .so file by running rpm -ql php-mbstring - it will list all files belonging to package.