setup making problem

hi every one
I am going to make setup of a project but setup software ask for the dll file of the project I could not understand how to make dll of the project file.

What are you using? The package and deployment wizard?

I think that is Data dynamic's package builder.

But my actully work out is how to make dll of any project I know that is posible.in vb options where its exe its dll option too but I could not uderstand how to make a dll.

Moved from ClassicVb.