Unfortunately I never used GUIs in C++ programs (I always created dos like programs in C++), the only GUIs I used were with VisualBasic, but I'm sure it's something you can do (to add a GUI to your DLL file). If you know how to create a GUI in standard C++ programs, you'll be able to create it with a DLL.
To create the GUI you can use C++ Builder, but in your app (not a DLL, but a simple app) you have to make a call to a routine that actually shows the GUI, right?
This, in a normal application, will probably happen in the main routine, and in BSP plaug in will happen in the EV_KEY_PRESSED case statement..
Sorry if I can't help you any further with this topic, I planned to learn Visual C, but due to lack of time I left the project.. :(
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