1) No, if the library is in the same path as the executable, it will work.
2) You only use PInvoke with C functions, not C++ objects. So using PInvoke to directly call Interception library is probably out of the question.
3) You can create a C++/CLI library that links to Interception. But you will have to create your own .NET objects to wrap the pure C++ objects in Interception.
I would recommend you read a bit about coding CLR in C++. Making a CLR wrapper in C++/CLI is probably the cleanest way to go.