Those of you who were interested in my loader lock topic at Tech Ed this year should probably get this whitepaper from Windows Hardware Developer Central (not actually a place I hang out regularly.) It's a downloadable Word document (8 pages) that tackles things like "what you should not do from DllMain" (this list is a page long), deadlocks, and threading considerations (and remember, we are all going to have to tackle threading considerations eventually). While it doesn't say it's C++-specific advice, in what other language could you "Use the memory management function from the dynamic C Run-Time (CRT)" or "Set global pointers to NULL, putting off the initialization of dynamic members"? It even has Vista-specific advice.
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