You will need to use a tool such as Microsoft's Visual C++ compiler to make the DLL file. There may also be some freeware tools that allow you to stick .ico files into a DLL, but I don't know of any such tools off the top of my head.
You should be able to do, although I don't personally know the mechanisms involved. If I have some time, I'll try to research this a little tonight, although I can't promise anything.
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