Hehe okay. Not sure it's mentioned anywhere: it consists of two words (similar to English compound words like "sundial"): afsluit and dijk, where dijk pronounced similar to dike and means the same. Afsluit is less close to English and means "enclosure". The enclosure dike.

Wikipedia says "enclosure dam", which is more accurate since a dam has water on two sides, as the afsluit-dijk does, but that's not what we call it in Dutch. Then it would have been afsluitdam -- yes, dam and dam are the same in Dutch and English, just like dike and dijk are very similar. Wonder why! :-)

Edit: not sure why you're being downvoted?! I always find it rude when people downvote without comment (also on stackoverflow, I typically comment when I see it on my own or someone else's posts).