How to create an event in a c# wrapper for a c++ dll

the easiest approach would be to write a COM object in the DLL - create an ATL simple object with a methods (say) HRESULT Register(IUnknown *eventCallback), HRESULT UnRegister(void)
(don't bother with dual/dispatch, custom is fine, but make it automation safe)

Use tlbimp (on the generated) tlb file to get C# to 'see' it via the interop assembly

Create a com object in the C#, use regasm to create the tlb for the c++ object to #import it

(tlb's are meta for interface description interchange)

in your c# 'master', create one of your C# com objects, create one of the c++ com objects, call register and pass it your c# object

Now the c++ can store that pointer (in a CComQIPtr<yourc#interface> m_remoteEventSink) and call up to it whenever

c++ code

#import "tlbCreatedFromRegAsm.tlb" raw_interfaces_only no_namespace

// ... ATL class definition

HRESULT Register(IUnknown *eventSink)
{
    m_eventSink=eventSink;
    // start CoolFunctionalLoop thread here, maybe
    // ...
    return S_OK;
}

HRESULT Unregister()
{
    // end CoolFunctionalLoop here 
    // ...

    m_eventSink.Release();
}

void CoolFunctionalLoop()
{
    while(1)
    {
        m_eventSink->FireSomethingInteresting()
    }
}

private:

CComQIPtr<c#interface> m_eventSink;


// ATL class ends

This Article[^] covers it almost completely