How to convert c++ dll to .Net COM

Bad idea. Forget COM, you won't need it.

Instead, do one of the two things: 1) use P/Invoke to access unmanaged code from .NET Application, or 2) use mixed/mode (managed+unmanaged) C++/CLI project to create intermediate dual executable module which you can use as a .NET assembly and reference in your .NET application.

Please see:
http://msdn.microsoft.com/en-us/library/windows/desktop/ms632589%28v=vs.85%29.aspx[^].

If you need to learn P/Invoke, start from here:
http://en.wikipedia.org/wiki/P/Invoke[^],
http://msdn.microsoft.com/en-us/library/Aa712982[^].

This CodeProject can also be useful: Essential P/Invoke[^].

Now, about C++/CLI mixed-mode (managed+unmanaged) project:

Such project could build a DLL required by the global hooks, but it can contain some managed wrapper CLI code, so, from the standpoint of your .NET application, you can use it as a regular .NET assembly, that is, reference it. Please see:
http://en.wikipedia.org/wiki/C%2B%2B/CLI[^],
http://www.ecma-international.org/publications/standards/Ecma-372.htm[^],
http://msdn.microsoft.com/en-us/library/xey702bw.aspx[^],
http://msdn.microsoft.com/en-us/library/3bstk3k5[^].

Please understand that COM was created to introduce some object-oriented feature in use of the OS APIs and modular multi-language applications on non-object-oriented platform. .NET is a strong purely object-oriented platform. You don't need this historical highly convoluted COM technology.

—SA