Exe and DLLs are Assembly executable modules.
Exe is an executable file. This runs the application for which it is designed. An Exe is generated when we build an application. Hence, the assemblies are loaded directly when we run an Exe. However, an Exe cannot be shared with the other applications.
DLL stands for Dynamic Link Library. It is a library that consists of code that needs to be hidden. The code is encapsulated inside this library. An application can consist of many DLLs. These can be shared with the other applications as well.
Other applications which share this DLL need not worry about the code intricacies as long as it is able to call the function on this DLL.