How do I compile a .cpp source file into a .dll?
A dll file is a library file, which is composed of many object files. This means you need to compile your .cpp file then combine it with any other files you need into the .dll.
Here's a tutorial I found with a quick google: http://www.icynorth.com/development/createdlltutorial.html
EDIT A fix for the above link since it's dead now https://web.archive.org/web/20130924001807/http://icynorth.com/development/createdlltutorial.html