To compile the DLLs from this quickpost with MinGW on Kali, you first have to install MinGW.
Issue this command: apt install mingw-w64
Compile for 64-bit: x86_64-w64-mingw32-gcc -shared -o DemoDll.dll DemoDll.cpp
Compile for 32-bit: i686-w64-mingw32-gcc -shared -o DemoDll-x86.dll DemoDll.cpp
Option -shared is required to produce a DLL in stead of an EXE.