From the technical point of view this is possible since CP 1.666. Here, the so-called FDOs were introduced, ``flatmode dynamic link objects''. All in all these are nothing different than DLLs which everyone knows from Windows, OS/2 or also Unix. FDOs contain egdrivers for soundcards. If a new soundcard was to be supported, not a new Cubic Player would have to be released but only a new FDO.
With an entry in cp.ini, you can embedd such a driver.
In Cubic Player 2, these FDOs were replaced by DLLs, ie in general only a different format (however, I am not sure whether FDO also supported imports.)
The format FDO had been invented by pascal, which means that it was not supported by any linker. A different thing is the case with the DLLs of CP2. They are simply normal LE-DLLs. Everybody who has done a little more with Watcom C and DOS4G or PMode/W should know the LE-format: It is used there by default.
In general, there is no great difference between LE-DLLs and LE-EXEs. LE-EXEs, however, usually contain no imports or exports (the right professional-version of DOS4GW, DOS4G, supports DLLs).
To reach that the player also works with the normal DOS4GW or even PMode/W, OPENCP contains a DLL-loader which loads these DLLs and links them to the main program. The main program merely consists only of this DLL-loader (later more about this).
Everyone who has Watcom C can create LE-DLLs. Of course it's also possible with other linkers and compilers, but you ought to use Watcom.