To create a DLL you need to write some code and that would be the C/C++ code and then compile this to create a dll. I had long back written a small blog post on this, may be it will be helpful. So you need to know C and may not be in depth, but again that depends on what your function would do.
To use JNI, you have to have (on Windows, anyway) a DLL which is written in a specific way. You will have read about that in the tutorials you studied. Unfortunately the DLLs for the Windows APIs were not written in that way. That means that if you want to access them via JNI, then you have to write a wrapper DLL which is written in the JNI-specific way. This DLL would do nothing but delegate its calls to the underlying Windows API DLL.
Of course if you don't know C or C++ then even this small task is impossible. In that case you might want to look into Java Native Access.