If you're using MSVC 6, open up hl.dsw, which is in Single-Player Source/dlls. On the left you'll see a listing of all the files in the project. When you wanna compile the dll, make sure everything is saved and hit F7, which builds the project. It'll take a while since there's a shitload of stuff to compile; when it's done there should be a new dll in Single-Player Source/dlls/Profilehl. Copy that to your mods dlls folder.
If you want the dll to automatically be placed in your mods folder when you compile, in the menu go to Project -> Settings -> "General" tab. Under both "Intermediate files" and "Output files" put the full path to your mods dlls folder.