I would start by reading the MicroStation Programmer Guide (help file delivered with the MicroStationSDK). Look at the chapter "Building Applications" it tries to explain the build process and the various steps involved. Once you have gone through that then looking at the various .mki files will start to make sense. Start with MDL.MKI and WinntMDL.mki then move on to dlmlink.mki and you should have a good foundation for what is going on with the build. Bmake is not magic it simply reads a "script" and calls other utilities to do the work. When all else fails and you have a build issue it helps to have:
1. the environment information (what compiler and tools being used).
2. the make file
3. a capture of the output to demonstrate the issue.
HTH,