What's the difference between vector and list in STL

A vector is a wrapper arround an array. This means it offers random access iterator that are very fast and can also be used when raw memory pointers are required.
A list is a wrapper for a linked list. This means that it is not continuous memory and random access ([]) is expensive. However, insertion and deletion is always in constant time, in constrast to vector that often require reallocation and copying when inserting or deleting.

what is DLLMain()? how is it called?

Generating an Import Library

For other programs to be able to use your DLL you need to provide an import library which can be linked to those programs (or other DLLs for that matter). The tool for generating import libraries from .def files is called dlltool and is discussed in its own section in the introduction to GNU programming tools.

DLL Initialization in DllMain

When using Mingw32 to build DLLs you have the option to include a function called DllMain to perform initialization or cleanup. In general there will be an entry point function of some sort for any DLL (whether you use Mingw32 or not). In Mingw32 this entry point function is supplied by the DLL startup code automatically linked to a DLL, and that startup code calls DllMain. There is a default DllMain which will be called if you don't supply one in your own code.

DllMain might look something like this:

BOOL WINAPI
DllMain (HANDLE hDll, DWORD dwReason, LPVOID lpReserved)
{
    switch (dwReason)
    {
        case DLL_PROCESS_ATTACH:
            // Code to run when the DLL is loaded
            break;

        case DLL_PROCESS_DETACH:
            // Code to run when the DLL is freed
            break;

        case DLL_THREAD_ATTACH:
            // Code to run when a thread is created during the DLL's lifetime
            break;

        case DLL_THREAD_DETACH:
            // Code to run when a thread ends normally.
            break;
    }
    return TRUE;
}

You put your code where the comments are. Notice that the function always returns TRUE. This is really only important when dwReason is DLL_PROCESS_ATTACH. If your code returns FALSE here that means that the DLL failed to initialize properly (for example, it couldn't allocate some memory it needed). The DLL will not be loaded and DllMain will be called again with DLL_PROCESS_DETACH immediately. If this DLL is being loaded automatically (instead of with the LoadLibrary function) that will make the loading of the entire program fail.

DllMain in C++ Modules

If you are writing code in C++ you should note that DllMain must not be "name-mangled" like normal C++ functions are (name mangling is a process that makes it possible to have two functions with the same name in C++ as long as they have different arguments). You can prevent the mangling of the DllMain function by adding

extern "C"

Before the name DllMain in the code above. You could also put DllMain in a separate .c source code file (but then you would have to worry about any calls made from inside DllMain to C++ code).

If you do not force DllMain to be a C function it will not be found by the call in the Mingw32 start up code, and the default DllMain in libmingw32.a will get called instead. If your initialization code doesn't seem to be called, and you are programming in C++, check that your DllMain function is either in a separate C source file or is forced to be a C function with extern "C".