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I wrote a trajectory planner in Matlab, and I would like to compile as a .dll or .so to include in Python. Is it possible, if yes where and how can I start? I already installed the gcc and g++.

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I'm asuming you coded m-Code and not C++-code in MATLAB (because the latter one would be easily convertable to some sort of C++ library): Perhaps try MATLAB-Coder which will help you generate C++ code from your m-Code: http://www.mathworks.de/products/matlab-coder/?s_cid=global_nav

Perhaps it's what you're looking for :)

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Yeah than have a look at the link. It's the only way I can think of o automatically generate C++ code which you could than compile into a dll file.
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Another support tool that might be of interest is MlabWrap.

If access to the MATLAB compilers is a problem, Octave and Pytave may be an alternative that is cheaper than a full rewrite

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