This Delphi Training Movie looks at DLL programming, at least the basics. In it we write a DLL and then use it. The example is a bit contrived, but should give you a solid starting point. This one is a biggie and weighs in at over 20 minutes, and you can watch it here.
This book will make you a faster Delphi developer, it doesn't matter if you are just starting out, or have been using Delphi since version 1, you will find all sorts of tips, tricks and hacks to boost your productivity.