Well, most students learn integrals first by studying various approximations, like the trapezoidal rule, Simpson's rule, etc. They learn that integrals are basically the sums of the areas of many small slices, and of course, the area of a slice depends upon its width.
In the limit as the slice width goes to zero, the approximation becomes an exact integral. The teachers then like to tell students that the "dx" is an infinitesimal change in x, and that it's there as the width of the infinitesimally thin rectangles.
This, of course, is not true -- on many levels. "dx" never denotes an infintisimal. It's really a one-form, a beast that maps vectors into real numbers, and it's there because you can't integrate functions directly -- that's meaningless. You can only integrate differential forms. By including a "dx," you are actually multiplying the function by a differential form, which produces a differential form, and then you can integrate it.
"dx" is the simplest such differential form, which simply denotes a line integral over the x-axis.
- Warren