You do the memory management. DLLs have separate heaps, so you need to do the management yourself. Of course, depending on your environment, there may be an specialized new/delete available for your convenience.
There are two types of dynamic memory to handle, and to keep apart:
You can use the calling process' heap, but that will be a different one for every calling process, obviously. So you use that only for data depending on the caller.
For the memory your DLL uses in general, independent of caller, you'll have to get a separate "private" heap, using HeapCreate and its sibling functions.
Be careful not to pass on the responsibility for that memory to anything else. What your DLL allocates, your DLL will delete - otherwise, you'll get trouble. That should be the basic rules, but over GC some people forget how use memory responsibly, so I mention it.
