As Armadillo is a C++ template library that uses expression templates, I don't think it's possible to create a DLL out of it.
The expression templates are executed (run) at compile-time by the C++ compiler, whenever compiling code that uses Armadillo classes. Whenever a C++ library uses expression templates (part of template metaprogramming), the library can be thought of as an extension to the C++ compiler.
All the Armadillo code is in headers. As such, even if you managed to export one of the classes (eg. the Col class), none of the associated mathematical machinery (eg. addition, multiplication, etc) would be exported, which is defined all throughout the other parts of the library.