DDE appears to be an old, but still available version of .NET's COM for interprocess communication (http://en.wikipedia.org/wiki/Dynamic_Data_Exchange
Communicating with a program using DDE requires writing a program using DDE, unless that program has already been written. What source for market data or program were you looking to link to? The code/feasibly will depend on the program you are talking about.
Mathematica provides .NET/Link
which would be a good place to start writing code to work with DDE or COM/OLE. You would need to learn to program C# first however.
In some cases, we have provided packages which allow you to communicate with otther programs. For example, the Wolfram Finance Platform comes with a package that allows you to pull data from a bloomberg terminal installation on your machine and there is a package availabel that allows Mathematica to communicate with Excel