DME is just more convenient for measuring than LME (liquid malt extract). It also stores better so it's easier to keep around for starters. You can absolutely use liquid extract if you want to though!
One point to keep in mind when switching a recipe that calls for DME to LME is that DME is a slightly more concentrated. That is why dry may seem more considerably more expensive, but if you consider it is more concentrated they are a little closer value wise. There is a ratio out there somewhere for converting. I can't recall what it is at the moment, sorry.
Essentially, if it calls for DME and you want to use LME you will need to use a bit more to have an equivalent gravity.