How is code packaged from other languages when used within a .NET application?
They are packaged within assemblies. The assembly contains a manifest that details the contents of that package, such as classes, resources, and so on.
Does it matter which language is used as the main application language?
No, it is a matter of preference. Any user interface work will likely be more difficult using C++ due to the lack of a forms designer. For this reason, using VB .NET or C# .NET for the interface and C++ for the underlying logic is a good choice.
When are the DLLs loaded when used by an application?
They are loaded when they are first used.