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I created a project (Dynamic Link Library (dll)), and added a reference to it in my main project.
I am getting an error:
cannot open file 'DummyModule.lib'
I did build the project, but there is no file 'DummyModule.lib' anywhere on my computer. There is a .dll file 'DummyModule.dll'.
Did something go wrong? Should there be a .lib file as well?
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Not by default, no. The import library is only created when you export a symbol. So this means using the __declspec(dllexport) storage class specifier, a module definition file with an EXPORTS section, or the /EXPORT linker command line option for a symbol (function or data) defined in the DLL.
Just create a DLL project in Visual Studio, but make sure to set it to "Export symbols" but don't set it to empty. Then check what the sample project does.