Processing several million customs entries is no easy task. DHL Express does that every day for millions of packages. Often DHL needs some info from the importer (YOU), they will most likely contact you to retrieve information about you, and the content of your shipment/order.
If you see through your DHL Tracking that the customs processing of the shipment is taking too long, do not hesitate to contact your national DHL Import department and ask them if there is anything you can do to help speed up the process.
Read more about DHL and customs processing here