Based on the discussion in the comment thread below @ Mario's answer: I was going to suggest you try the comparison you made ( R CMD SHLIB dll vs Matlab dll) to help diagnose the problem. Based on the results, I think that you need to find out what call syntax for the dll will be in C and write a small C-shell for it that uses this syntax, but, in turn, R CMD SHLIB -able ... R CMD SHLIB --help says that you can enable linker options on the command line (i.e. make sure that you link your DLL with Matlab-callable with your DLL-called DLL), but I'm not sure about the exact syntax. This will probably help to study a little the corresponding section of the R Extensions manual.
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