It doesn't work quite like that, but basically, yes - we call them plug-ins.
You create your function that accepts the parameters you require, and returns the result - some returned results are straight-forward (integer), some are not (float, string).
Then you add a resource string that describes your command/function parameters to DBPro, along with how to call it, then you pop the entire DLL into the plugin-users directory, and now you have the equivalent of built-in functions/commands - just using a command from that plug-in will ensure that it is included when you build you EXE.