DllRegisterServer is called, when Windows or OLE wants me to register my classes under HKEY_CLASSES_ROOT\CLSID. But I don't understand why this function has to be implemented, because when Windows/OLE can make calls to my DLL, then my classes are already registered with their CLSIDs and their path to the correct DLL. Can somebody tell me, what I am misunderstanding?
You are confounding the chicken and the egg. In order for COM to help a client app to create objects and marshal calls, it needs to know where your COM server is located. The client app just uses a number, a GUID, to tell COM what object it needs. The mapping from a GUID to code in an executable file requires COM to know where that file is located first. And, if necessary, how to marshal a call on an interface from one apartment to another.
It is registering the server that provides COM with that knowledge. It writes keys in the registry that COM uses to find the file back. Like the CLSID key, its InProcServer32 sub-key provides the path to the file. Etcetera. Or the manifest embedded in the client app if it chooses to use reg-free COM.
Observing this with SysInternals' Process Monitor can provide a lot of insight. You'll see what DllRegisterServer() does and how a client app uses those keys.