A DLL is a Dynamic Link Library.
They can be used to extend an application and componentize your final product.
They can contain all or some of the business logic for the application.
They are typically used to allow code that will be shared among several applications.
How you create one is by making a program that contains the necessary files (and headers/and libs) for creating a DLL.
typically:
stdafx.h
then you create your classes as normally you would do, but the ones you want to use outside the DLL, you export this this:
extern "C" BOOL PASCAL EXPORT ExportedFunction()
then, you create a new application and import the library of your DLL, and include the header file for your external items (functions, properties, events) and then use them in your application.
You should be able to find help for doing this in VC++'s help, as well as using the DLL wizard when you start your project.
If you do not have the help files, then you can find them here: http://msdn.microsoft.com
Good luck, hope this helped,
Chi