You can't create a DLL from just a header file. A DLL contains compiled source code, but a header is just definitions and doesn't contain any source code.
Probably there's a related source file that contains the implementation of the definitions (maybe MAG_ExtendedKalman.c) and you can compile that into a DLL; you would need to check your C++ compiler documentation for how to do that, and your C# documentation for how to link a C++ DLL into a C# project.