int** and native Dlls (double pointers,unsafe code etc)

Have you just tried passing "data" to the function ? If its a 2D array then the name of the array should also be a pointer-to-pointer to the first block in the second dimension.

The answer depends on the way unmanaged function treats int** parameter. It can be pointer to contingous memory block n*m*sizeof(int) - static array, or array of int* pointers (dynamic array). Assuming that this is continguous array, you can make unmanaged memory block with n*m integers and pass pointer to it to unmanaged function.

IntPtr array = Marshal::AllocHGlobal(Marshal::SizeOf(typeof(int))*n*m);

This line allocates unmanaged block for  n*m integers. Now you can fill this block line by line using one of the following ways:
- using Marshal.WriteInt32 Method (IntPtr, Int32, Int32), changing offset from 0 to (n*m-1)*Marshal::SizeOf(typeof(int))
- using Marshal.Copy Method (Int32[], Int32, IntPtr, Int32), copy single-dimentional managed array to unmanaged.

First parameter of MethodName function should have IntPtr type, pass array variable to function.
Replace char* filename with string filename, with CharSet = ANSII.
Replace int* return type to IntPtr and read result using Marshal.ReadInt32 method.

Don't forget to release array after using with Marshal::FreeHGlobal method.
Notice that of this is dynamic array, you need another algorithm.

If you have code of MethodName function or unmanaged code which calls it, please post this code. This gives enough information to write C# client code.

Yeah I tried just passing the array hoping it would marashal it for me but I get this error ...

"Cannot marshall parameter #1': There is no marshalling support for nested arrays."

I will find out exactly what the dll is doing and post some of the code.

.NET interoperability is based on marshalling data between managed and unmanaged memory. It is implemented using Marshal class functions, which are easy to understand for programmer with C++ experience.
Unsafe pointers support in C# is restricted and I don't suggest to use it for interoperability. Read about Marshal class in MSDN , I hope this can help. You can post more code if necessary.

OK I've found out its contiguous.  

Haven't got any code to post yet, but I will give your suggestions a go and read about the Marshall class.  

ok so I did this ...

change the method ...

        [DllImport(DllPath, CallingConvention = CallingConvention.Cdecl, CharSet = CharSet.Ansi)]
        public static extern void calibrate(IntPtr x, int n, int k, string filename);

Now build the pointer the unmagaed memory ...

 IntPtr DataPtr = Marshal.AllocHGlobal(Marshal.SizeOf(typeof(int))*NumberOfPixels*ColourDimensions);

for (i = 0; i < NumberOfPixels; i++)
                for(j = 0; j < ColourDimensions; j++)
                    Marshal.WriteInt32(DataPtr, i + j, data[i][j]);

But get this error ...

Attempted to read or write protected memory.  This is often an indication the memory is corrupt.

Any suggestions?

Try this:

int offset = 0;

for (i = 0; i < NumberOfPixels; i++)
{
                for(j = 0; j < ColourDimensions; j++)
                {
                    Marshal.WriteInt32(DataPtr,offset, data[i][j]);
                    offset += Marshal.SizeOf(typeof(int));
                }
}

I will test this now.

Ooops! Sorry, forgot to accept the answer, worked great.