DLL:
1) Dll is Dynamic link library.
2) Dll will be created if you can take template as Class Library Project.
3) If you take Class Library project ,when ever you can build the your project DLL will be Created.
4)Dll is Inprocess componet
EXE:
1) Exe will be created if you can take Windows or Web, console etc projects when ever the  your project build exe file will be created.
2) EXE file is Out Process componet