I still can't see the big advantage of .NET applications. You can do that and more in a compiled application.
I thought the same thing, prior to actually taking an in-depth look at C# I did not see the big advantage with .NET applications. You should really take a look at it and learn C# and you'll understand its advantages. C# actually has many perks that C++ doesn't.
Nevertheless, I still prefer C++ due to my larger familiarity with it compared to C#.
As for what language to use to create a DLL, I highly recommend sticking with the mainstream languages. They'll do you better good in the longer run (for a programming career)