Is Dunkleosteus related to sharks?

Well, you're related to a mushroom, so the answer to your question is yes. All organisms are related, because we all descend ultimately from a single common ancestor.

The real question is how closely two things are related. In human families, relatedness is measured by how recent two people's common ancestors are. For example, siblings are more closely related than cousins, because you only have to go back one generation to their common ancestor (siblings share the same parents) rather than two (cousins share the same grandparents). It's the same in evolutionary relatedness: Tyrannosaurus is more closely related to a sparrow than to a crocodile, because tyrannosaurs and birds share a more recent common ancestor than tyrannosaurs and crocs. The mushroom, perhaps surprisingly, is more closely related to you than to a daisy, because animals and fungi share a more recent common ancestor than plants.

So back to the original question. Dunkelosteus was part of the placoderm group of primitive fish, which was the first to branch off the main line of jawed fish. The next group to branch off was Chondrichthyes, which includes sharks and rays.
See http://en.wikipedia.org/wiki/Gnathostomata#Phylogeny for details of how these groups are related.

So sharks are more closely related to Dunkelosteus than to jawless fish (lampreys and hagfish), but more closely related still to bony fish (cod, salmon, etc.) and indeed to tetrapods, including ourselves.