From version 11.0, Dyalog allows classes to be written in APL. A tutorial titled Introduction to Object Oriented Programming for APL Programmers was included with version 11.0, and can be downloaded free or printed on demand from http://stores.lulu.com/dyalog. It is avalible from the Documentation Centre (Help|Documentation Centre from v12.0 and onwards - and on line at http://www.dyalog.com/documentation).
Version 11.0 on line help also describes classes, start at: http://www.dyalog.com/help/12.1/index.html?page=html%2Fintroducing%20classes.htm
Chapter 3 of the Language Reference introduces Object Oriented programming. The interface to the Microsoft.Net framework relies heavily on object oriented concepts, especially when providing DotNet components written in APL; see the DotNet Interface Guide for more information.