Cooking without the addition of liquid. Examples include grilling broiling and panfrying. Used for tender cuts or less tender cuts that have been marinated.
A stupid statement made by old-timers, when someone complains that it's hotter than hell outside, implying that low humidity makes extremely high temperatures easier to tolerate.
Joe: 114 degrees! Jesus, that's HOT!
Schmoe: Yeah, but it's a dry heat.
These are the only two meanings I know about. The full context of the phrase would help to identify if the script writer was creating a third meaning.