-not an answer-
Why are you compiling a game into a DLL? That's kinda pointless, since you couldn't run it. Or do you mean compiling part of the game into a .dll and having an exe use the .dll?

-sorta an answer-
But I believe that it would be difficult(probably not impossible) to use a .dll without the proper header and .lib files. On the other hand, people can decompile your .exes and take the (largely unreadable) source from that.

Mr_Fhqwhgads,
Check out the MSDN documentation on "Code Signing." That would be the mechanism you would want to use to limit the use of your DLL to particular parties . There are also things you can do like seal your classes or provide only interfaces as public, with the exception of a few Factory objects. Again, I'd have to direct you to the MSDN documentation. This is a fairly complex topic, and there are multiple ways to go about solving it. I know this doesn't help much, but the following links should get you started:

http://msdn.microsoft.com/netframework/programming/classlibraries/
http://msdn.microsoft.com/practices/compcat/default.aspx?pull=/library/en-us/dnbda/html/dalgroadmap.asp

Tanakas...