>What should I do in order to compile that DLL in COM+?

You don´t need to "compile in COM+"... when you compile the MTDLL, it´s automatically registered on your system. You just need to go to the Start Menu | Administrative Tools | Component Services, create a new COM+ Application, and then Add your Component.

Take a look at:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnfoxgen/html/mtsvfp.asp

go right to a "Project Hook" reference, and you´ll see how to make all of that automated by VFP. ;)