Dynamic link library does not generate a .lib file when compiled (Visual Studio C++ Express)

Here is some sample code that demonstrates how to correctly export a class. Pay attention to the CONSOLETEST_EXPORT macro. This is the missing part of your solution. You need to define this macro in your DLL project, and leave it undefined in the projects that reference this dll.

// MAIN.CPP - TestApplication

#include <iostream>
#include "ConsoleTest.h"

int main(int argc, char** argv)
{
    std::cout << "Hello World" << std::endl;

    ConsoleTest test;

    test.Write();
    ConsoleTest::StaticWrite();

    system("pause");
}


// ConsoleTest.h - TestDll 

#include <iostream>

#ifdef CONSOLETEST_EXPORT
    #define CONSOLETEST_API __declspec(dllexport)
#else
    #define CONSOLETEST_API __declspec(dllimport)
#endif

class CONSOLETEST_API ConsoleTest
{
public:
    ConsoleTest();
    ~ConsoleTest();
    void Write();
    static void StaticWrite();
};


// ConsoleTest.cpp - TestDll

#include "ConsoleTest.h"

ConsoleTest::ConsoleTest()
{
}

ConsoleTest::~ConsoleTest()
{
}

void ConsoleTest::Write()
{
    std::cout << "Instance Write" << std::endl;
}

void ConsoleTest::StaticWrite()
{
    std::cout << "Static Write" << std::endl;
}

Check out this article on codeproject for more details.
HowTo: Export C++ classes from a DLL