How are we supposed to create a DLL, included with header files?
For example, a project using the raylib game library requires raylib.dll to be present with the output file.
The raylib.dll is included with the header files of the raylib game library.
Is that how are supposed to create a DLL and include header files into it?
I am using Dev C++ with a GCC compiler.
There's only a limited relation between the header files and the creation of the DLL. In particular, you use the word "linked", and header files are not linked. Header files are included, libraries are linked. Including happens before a compile, linking afterwards.
Header files can provide declarations for functions defined in the DLL. That tells the compiler that those functions actually exist (somewhere), so the compiler will ask the linker to find those functions. The linker in turn will find them in the library.