You need steel or dwarven smithing to make them. To make steel, you need a steel ingot and firewood. For dwarven, a dwarven metal ingot and firewood. You can make them at any forge. Not just the one in Fort Dawnguard.
Yea you have to get as far as to recruit two people for the dawnguard, keep asking the female if there's anything you can do to help and she will give oyu quests to get schematics to improve on cross bows , bolts then eventually dwarven crossbows ( you dont need to go on more quests for her after you get the improved dwarven crossbow, that's all the upgrades shes got atm.)
I do not have an explosives problem, I do have the explosives, however it is YOU who have the problem *click*