If an instant or sorcery spell destroys Dryad Militant directly (like Murder does), that instant or sorcery card will be put into its owner's graveyard. However, if an instant or sorcery card deals lethal damage to Dryad Militant, Dryad Militant will remain on the battlefield until the next time state-based actions are checked, which is after the instant or sorcery finishes resolving. The instant or sorcery will be exiled.