I've got their public key and my public and private key (samples supplied by vendor). Where do I put what in order to come up with the "shared secret"?

It depends of the format you use for your Diffie-Hellman keys. Without telling me more about the structure of the keys you're talking about, I can't help you.

Thanks Pieter, I've got it working by trial and error and am able to encrypt/decrypt with another party that is using the OpenSSL package. Right now I'm trying to create my own public/private key pair. The other party and I have agreed on a large P and a G. I pass 0 as my length. I then call CreateKeyExchange(). What is this value? The public or the private? Then I call DecryptKeyExchange("value from CreateKeyExchange"). I assume this is the other key.

I just want to verify which key is which.