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.exe is an executable file.
DLL file is a Library File which supports a executable file.
DLL stands for Dynamic Link Library - it is a library file which is linked at runtime (ie. dynamically) rather than at compile-time.
an exe has its own individual address space, whereas a dll have one address space, thus it can be shared.
A dll can be "dynamically" loaded and unloaded from memory, allowing an application to take up less space than it normally would when its not using the functions in that dll.