Chances are you won't have to write a DLL for a while, so I wouldn't worry about it. It's a much more advanced concept than the ones you're dealing with now.
Note that the #ifndef SOMEFILE_H type preprocessor directives are used as header include guards. So if you want more information you can look up header include guards.
I would consider getting a book if you're serious about learning C++. It's harder to cobble together a good knowledge of the language through tutorials. Accelerated C++ might be perfect for you since you have some background in programming and it will highlight the best uses of C++ (as opposed to C or Java).