Let's get started with writing a dll for MT4, I'm using VS 2008 but you can use a free software such as dev-c++, note that for dev-c++ the def file is created for you but you need to watch out for name-mangling.

if using dev-c++ add the following around your code:

#ifdef __cplusplus
extern "C" {
#endif
Your code goes here ...
#ifdef __cplusplus
}
#endif

Well I could wrote some long boring chapters or you could just watch the video to the right

This should get you started and I have provided a sample VS2008 project as well as a sample dev-c++ project to help you get started.