EXE - An assembly with an entry point is called as an EXE file.

DLL - An assembly without entry point is called as an DLL file

You can create an objects of Dll but not of the EXE.
Dll is an In-Process Component whereas EXE is an OUt-Process Component.
Exe is for single use whereas you can use Dll for multiple use.
Exe can be started as standalone where dll cannot be.