Well, the easiest way to try is New -> Project -> Win32 Static library (LIB) then add all .c files from PDCurses to it and then build it.
This way you will get a static library which means every application you link with it will have it embedded in the .exe.
Creating a DLL is more complex becase of __declspec(dllimport/dllexport) crap, and it depends if the library already supports DLL building or you have to add it by yourself.