If you have all 3 DNP components on the same server then you can just put code into application's "settingsControl" page. It'll do the trick.
C# examples:
http://www.codeproject.com/KB/cs/virtualdir.aspx
http://blogs.officezealot.com/charles/archive/2004/10/26/3191.aspx
or search Google for: create virtual directory in iis c#
If DNP components are on different servers, then you can "hack" DNP Portal pages to track what is happening behind the scenes when you create virtual directory ordinary way in "Web Sites". Then copy the piece of the code and put it into application's "settingsControl" page. I don't think it's hard, but it's just time consuming.
Or email DNP team and ask for some API call/trigger to create VirDir they use. I'm sure they will tell you, but maybe in the "next century".
Those the only ways I can think of.