STOP! Forget my first post. By chance I stumbled over something that might help you. It is possible, just search within the NX Help for the following term:
"Calling Open C from Knowledge Fusion"
What you'll find there should meet your needs ;-)
I don't think that this works. DLLs have to be called from executable programs, and there is no such funtion in KF. Further: KF is rule-based and calling external functions would not make sense, since it would be hard to evaluate the KF-rules.