Create an external application that constantly is checking for the process. When the process is lost the application deletes the .dll and returns. Make the .dll file start the external application when it is injected.
Create a .bat file smartass
What Brinuz Said !
Ya, what brinuz said, excluding the foul language, lol. It's more practical for you to create a batch file that deletes your dll and then since it's a batch file it can delete itself. So no evidence left.
I believe I've seen this exact same question before, with this exact answer given. I'm just going to give the answer I gave back then again.
I'd use .vbs scripts, since they are invisible to the user (no scary black box thingy)