While many people have pointed out that you can't execute dlls directly and should use rundll32.exe to execute exported functions instead, here is a screenshot of an actual dll file running just like an executable:
While you cannot run dll files directly, I suspect it is possible to run them from another process using a WinAPI function CreateProcess:
https://msdn.microsoft.com/en-us/library/windows/desktop/ms682425(v=vs.85).aspx