As you know files with PNF extension are associated with bitmap file type, from technically point of view how did authors of duqu implement this? as I concluded it is possible to make dlls in any file format, am I right?
As SteveS said in the comments, Windows doesn't care what file name you use - it's just a label. The "file extension" is only used as an indicator for how a user can interact with the file. Many applications also use it as a way to indicate that the file is of a particular type, but ultimately it's nothing more than a naming convention and shouldn't be relied on.
As long as the file is a PE format module, it can be loaded into a process as a module, e.g. via