I know this is old as this is gold for the intrepid. Yes it is possible, perhaps a little trickier on recent VS C++. What you need is a "MFC Extension DLL". Just select this "extension mode" when creating your DLL using the Visual Studio wizard.

If you create (or adapt from a project) a regular MFC DLL you won't be able to create CDialogs when using recent VS C++, i.e. VS C++ 2015. It will work on VS C++ 6.0 tho.