Its really I guess about using the right tool for the job. I doubt that it is possible to create DLL's using Java -as its main attraction is that it is supposed to be OS independant, and with DLL's you are making a commitment to one type of OS.
If you need to write DLL's I suggest VB or Delphi (and excellent development tool and language - far superior to VB IMO.) Do bear in mind that if you are thinking of writing server-sode applications, DLL can cause problems and you may ber better creating an exe file instead. Hope this helps...
Opp