A DLL (dynamic link library) file is compiled in the same way as a EXE file and holds the same kind of contents. As opposed to the exe files, it doesn't have any method of running in stand-alone mode, but rather act as a container for precompiled functions which can then be accessed by other processes.
If you were wondering about the plugins you can drop into your DBP\compiler\pluginsXXXXX folders, these also contain a stringtable describing the DBP syntax to call each available command in the library and their parameters. You can also access the root DBP plugins from such a dll to, for example, access 3d object data or whatever.
A dll is as said compiled code. They can likely be created by compilers for numerous languages, but C++ is pretty "standard" for developing dlls. If you want to make a DBP plugin, there is a short tutorial in present at DBP\Help\documents\1 Third Party Commands.html
Where DBP <=> your DarkBASIC Professional install directory.