EXE..
1.Its a executable file
2.There is only single main entry
3.When a system launches new exe, a new process is created
4.The entry thread is called in context of main thread of that process.

DLL..
1.Its a Dynamic Link Library
2.There are many entry points.
3.The system loads a DLL into the context of an existing thread

http://kalitinterviewquestions.blogspot.com/