Difference between EXE and DLL

In .NET framework, both .EXE and .DLL are called as assemblies. EXE stands for executable, and .DLL stands for Dynamic Link Library

EXE is an executable file and can run by itself as an application, where as .DLL is usually consumed by a .EXE or by another .DLL 

We cannot run or execute .DLL directly. 

For example, In .NET, compiling a Console Application or a Windows Application generates .EXE, where as compiling a Class Library Project or an ASP.NET web application generates .DLL.