I want to know the exact difference between the dll and exe file.
Both DLL and EXE are Portable Executable(PE) Formats
A Dynamic-link library (DLL) is a library and therefore can not be executed directly. If you try to run it you will get an error about a missing entry point. It needs an entry point (main function) to get executed, that entry point can be any application or exe. DLL binding occurs at run-time. That is why its called "Dynamic Link" library.
An Executable (EXE) is a program that can be executed. It has its own entry point. A flag inside the PE header indicates which type of file it is (irrelevant of file extension). The PE header has a field where the entry point for the program resides. In DLLs it isn't used (or at least not as an entry point).
There are many software available to check header information. The only difference causing both to work differently is the bit in header as shown in below diagram.
EXE file has only single main entry means it is isolated application, when a system launches exe, a new process is created while DLLs have many entry points so when application use it no new process started, DLL can be reused and versioned. DLL reduces storage space as different programs can use the same dll.