You must place your initialization code into DllMain:
BOOL WINAPI DllMain(HINSTANCE hinstDLL,
DWORD fdwReason,
LPVOID lpvReserved)
{
switch (fdwReason)
{
case DLL_PROCESS_ATTACH:
/* Init Code here */
break;
case DLL_THREAD_ATTACH:
/* Thread-specific init code here */
break;
case DLL_THREAD_DETACH:
/* Thread-specific cleanup code here.
*/
break;
case DLL_PROCESS_DETACH:
/* Cleanup code here */
break;
}