In order to make a dslibrary, all you have to do is zip up a directory containing any number of dspreset files (all the dspreset files should be in the top level directory). If there is more than one dspreset file in the directory, then when the user loads the instrument, a box will pop up asking which preset the user would like to choose.
So, for example, your directory structure might look something like this:
MyInstrument/Preset 1.dspreset
MyInstrument/Preset 1 Samples/<Sample files for preset 1 go here>
MyInstrument/Preset 2.dspreset
MyInstrument/Preset 2 Samples/<Sample files for preset 2 go here>
You could also choose to have all the samples grouped in the same internal directory:
MyInstrument/Preset 1.dspreset
MyInstrument/Preset 2.dspreset
MyInstrument/Samples/<Sample files go here>