hmmm ... what have I missed?
I created a folder under wwwroot, with a scripts sub-folder. I then copied my DLL into the scripts sub-folder.
I created a virtual directory under the default web site in IIS.
In the properties sheet for the virtual directory I put the full path to the scripts sub-folder as the local path. I also set the Execute permissions to "Scripts and Executables".
I can see my DLL when I click on the virtual directory in IIS.
I added a new entry under Web Service Extensions and specified my DLL as a required file. I set this new entry to "Allowed".
I compared the properties for my new virtual directoru with those of "Remote". They were basically the same (except mine does not require SSL).
In a browser I put the address:
http://MyServerName/MyVirtualDirName/MyDLLName.dll
I am asked if I want to run scripts, and then asked if I want to run ActiveX and plug-ins. I answer YES to both. Specifying just the DLL name with no parameters should just return a simple "no info available" message from my DLL, but instead I get "The page cannot be displayed". I also tried with meaningful parameters, with the same "The page cannot be displayed" result.
It seems that the DLL is not being found, or not being allowed to run, but I don't know what to do about it.