Well, every command in DBPro is a function in an external dll. The DBPro compiler converts source code into some machine code containing function calls to the different dlls. It knows which command goes to each .dll because each .dll has a string table (basically a collection of strings) which map the command name to a function in the dll.
DBPro looks for user dlls in the DBP Root->Compiler->plugins-user directory, so that is where you should put your finished plugin.
There is a lot of information needed to create a dll, and this can be found in the DBPro help files under 'Technical Documents'.