Add .dll (and a .exe) files to the gyp build:

tools/memory_watcher/memory_watcher.gyp

Index: tools/memory_watcher/memory_watcher.gyp
===================================================================
--- tools/memory_watcher/memory_watcher.gyp	(revision 0)
+++ tools/memory_watcher/memory_watcher.gyp	(revision 0)
@@ -0,0 +1,41 @@
+# Copyright (c) 2009 The Chromium Authors. All rights reserved.
+# Use of this source code is governed by a BSD-style license that can be
+# found in the LICENSE file.
+
+{
+  'includes': [
+    '../../build/common.gypi',
+  ],
+  'targets': [
+    {
+      'target_name': 'memory_watcher',
+      'type': 'shared_library',
+      'msvs_guid': '3BD81303-4E14-4559-AA69-B30C3BAB08DD',
+      'dependencies': [
+        '../../base/base.gyp:base',
+      ],
+      'defines': [
+        'BUILD_MEMORY_WATCHER',
+      ],
+      'include_dirs': [
+        '../..',
+      ],
+      'sources': [
+        'call_stack.cc',
+        'call_stack.h',
+        'dllmain.cc',
+        'hotkey.h',
+        'ia32_modrm_map.cc',
+        'ia32_opcode_map.cc',
+        'memory_hook.cc',
+        'memory_hook.h',
+        'memory_watcher.cc',
+        'memory_watcher.h',
+        'mini_disassembler.cc',
+        'preamble_patcher.cc',
+        'preamble_patcher.h',
+        'preamble_patcher_with_stub.cc',
+      ],
+    },
+  ],
+}