If you want to write DLL's, you'll need to make them in another language (typically C++, Purebasic, I think .net also). You can then link them into your program using a .decls file and by putting the .dll in the same folder as your executable. Obviously this means knowing those languages fairly well, and having the tools to compile a DLL with them.
If you want to see how people have done this before, have a look at the entries in the user libs archive - http://www.blitzbasic.com/codearcs/codearcs.php?cat=14
Bear in mind, DLL's are normally created to achieve something that isn't normally possible with Blitz as it is. If you are looking to speed up your game because you have a massive processing overhead, then fair enough, it might be worth looking into.
If you are new to Blitz, you are far better off writing everything in Blitz and only resorting to using a DLL if you really need to.
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