exe file is a excutable file which runs in a seperate process which is managed by OS,where as a dll file is a dynamic link library which can be used in exe files and other dll files.In .net frame work both are assemblies
An Exe can be executed as stand alone,That would have the Main method in of its class.
But DLL don't need to have the mail method.It would contain all the supporting/reusable components/classes in it.