May sound silly, but have you definately built the application properly? Are you looking in the right location? (Had cases where people had code in one place, but publishing to another and DLL files werent appearing) :)
DLL files will only be created if you have created classes that are seperate to the code behind for your ASPX pages.
Have you created seperate classes?
Rob
http://cantgrokwontgrok.blogspot.com