Please refer to the following URL to know the differences between EXE and DLL,http://onlydifferencefaqs.blogspot.in/2012/07/net-framework-difference-faqs-1_11.html

exe file is a excutable file which runs in a seperate process which is managed by OS,where as a dll file is a dynamic link library which can be used in exe files and other dll files.In .net frame work both are assemblies

 .exe is an executable file. 

DLL file is a Library File which supports a executable file.

DLL stands for Dynamic Link Library - it is a library file which is linked at runtime (ie. dynamically) rather than at compile-time.

an exe has its own individual address space, whereas a dll have one address space, thus it can be shared.

A dll can be "dynamically" loaded and unloaded from memory, allowing an application to take up less space than it normally would when its not using the functions in that dll.