delegate void CallBack();
		[DllImport("my.dll", CharSet = CharSet.Ansi, CallingConvention=CallingConvention.Cdecl)]
		static extern Boolean SetFunc(CallBack alert_func);
...
		public Boolean Init() {
			CallBack myCallBack = new CallBack(Alert);
			return SetFunc(myCallBack);
		}
...
		public void Alert() {
			Console.WriteLine("callback ...");
		}

typedef void (*MYCALLBACK) (); 
MYCALLBACK Event;
...
					if(Event != NULL)
					{
						printf("Run callback.\n");
						Event();
					}

	sealed class MyClass {
		[DllImport("my.dll", CharSet = CharSet.Ansi, CallingConvention=CallingConvention.Cdecl)]
		static extern Boolean SetFunc(IntPtr handle);

		Thread thread; 
		AutoResetEvent alert;

		public Boolean Init() {
			if(thread == null) {
				alert = new AutoResetEvent(false);
				thread = new Thread(ThreadAlert);
				thread.Start();
			}
			return SetFunc(alert.SafeWaitHandle.DangerousGetHandle());
		}

		public void ThreadAlert() {
			while(alert.WaitOne()) {
				Alert();
			}
		}

		public void Alert() {
			Console.WriteLine("callback ...");
		}

HANDLE hAlert = null;

SetFunc(HANDLE h) {
  hAlert = h;
  ... запуск потока использующего hAlert 
}

... где-то в потоке наступило событие
if(hAlert != null) SetEvent(hAlert);