DLL

A Dll is a Dynamic Link Library can not run itself, used as a supportive file to other application.
The Library Functions are Linked to the Application at Run Time (Dynamically) So the name is Dll. 
A Dll does not contain an entry point (main function) so can not run individually.

EXE

An Exe is executable file and is not a supportive file rather itself an application.
An Exe will contain an entry point (main function) so runs individually.

.exe 1).EXE is Executable File 2).exe is run individually 3).exe Has Main Function 4)Mainly is for standared alone application .DLL 1)DLL is Dynamic Link Library 2)dll can’t run individually 3)dll doesn’t contain Main Function 4)dll give support to exe

Exe can run on its own but dll can not run on its own. It is used as reference to use functions defined inside the dll by other programs.

.exe files - The "executable" files are those which we can run on Windows. Every exe file has a main() method [ in most of the languages ]. The procedure coded inside the exe file can be executed by the file itself once it is run..dll files - They contain methods and code just like the exe files but don't have a main() method. The code and the methods have to be used from a running exe application. They can't be run on their own.