I saw that LWJGL uses native DLLs and others, but how do you link these with Java, and how are they written in the DLL?

If the native files are in the same directory as the program is executed in, they will be automatically included.

Alternatively you can pass the path to LWJGL in code before initializing anything using the "hidden switch" as described here. http://www.lwjgl.org/wiki/index.php?title=LWJGL_Hidden_Switches.

One other option is to load the natives yourself by calling.

System.loadLibrary(pathToNatives);

Those are all the options that I know of.

I think he's meaning how do you write the code to have Java call native libs. It uses the Java Native Interface. See http://docs.oracle.com/javase/7/docs/technotes/guides/jni/ for more information or Google "java jni tutorial".