There are a few set-up steps that are required to create a class library and seperate DLL for a SubSonic Data Access Layer. To help avoid these repetitive steps I have created a Visual Studio 2005 project that can be re-used.
Rob Conery goes through the steps for setting up a class library project here.
In addition to the steps Rob shows in the video I have included a few other files as shown below.

There is a ss.config file that can used to specify your connection string and subsonic build provider parameters. Here I have two connection strings, and specify the INVENTORY connection. Other parameters can be specified to tailor the files generated.

There is a also a ss.bat file that can run from the command line to run the generator and create the DAL files. The files are created in the Generated folder. The Batch file assumes that subsonic is installed in the c:\program files\ directory and can be changed.
Here is an example of the output from running the ss.bat file.

After the DAL files are created in the Generated Folder, Visual Studio does not automatically include them in the project as shown. You must select the files and right click/include in Project.

Now, when you build the project, the created DLL will have your Data Access Layer, and this DLL can be referenced in your DNN modules or any other .net project.
The project is available on the downloads page, Be sure to clean up the generated folder, and do not use my secret password :)