How would you build a wrapper to unmanaged code in order to use it in managed code, and when exactly do you have to do that?
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You don't often need a wrapper, many DLLs with straight-forward exported C functions can be pinvoked with the [DllImport] attribute. An exception for C exports would be a poorly designed DLL that requires the client code to release memory, that can't be done by the managed code since it doesn't have access to the allocator.
The case where you have to have a wrapper is a native C++ class. Managed code cannot pinvoke it directly since it doesn't know how to create an instance of the class (which requires knowing the size of the object and calling the constructor) nor how to destroy it (which requires calling the destructor). It is pretty easy to do in C++/CLI. Very mechanical, the SWIG project can do it automatically. Learning that tool is however more of an investment than learning how to write the wrapper.