Hi!
I had a lot of trouble linking to a DLL as well. The tutorials are insufficient as far as I can tell. Fortunately, a recent update (4.14 IIRC) revamped the plugin system and now you can have the editor generate a plugin (framework) for you. Go into Edit->Plugins and there’s a “New plugin” button. One of the options is to create a “Third Party Library” plugin. That’s the one you want. Replace the default lib/DLL with the one(s) you want to use.
It may take some finagling. It did for me but I was able to get UE4 to load and use my DLL. Good luck!