A .dll means dynamic link library file which is used to do some functionality by using some methods
& doesn't provide any userinterface or non-GUI Program

Whereas .Exe is an executable file which provides some GUI interface for user interaction with keyboard n mouse or in some format.

The main difference between .dll and .exe is

.dll is the In process component where it take up the client's memory space to run. So the communication between the application and component(dll) is very fast.

.EXE is the Out of process component. It uses its own memory(not application memory) to run the component. The communication between the application and component is slow when compared to .dll