The Dal'Rok was a manifestation of the fear and pessimism of the villagers, focused through a fragment of an Orb worn by the village storyteller, the Sirah. For many years the villagers had been torn apart by hate and anger and the first Sirah created the Dal'Rok as a means of uniting the villagers against an external enemy. The secret of the Dal'Rok was passed down from Sirah to Sirah.
Every year, the Sirah would use a small fragment of an Orb from the Celestial Temple to create the Dal'Rok, which would then threaten the village for five nights. The purpose of creating the Dal'Rok was to unite the villagers against a common foe. (DS9: "The Storyteller")