DLLs are shared libraries which are used by other windows programs while EXEs are the files which are actually executed and are linked to DLL files so that they can use DLLs.
Both are of same format, PE(portable executable or format of machine code in windows in simple words).
In other words EXEs contain the entry point(main) and the DLLs contain the library functions.. You cannot execute a file which just contains library functions you can just use them via other programs.
But still there are programs like rundll32.exe which provides that entry point and some minimal framework required by DLL functions to be called.
The point that I want to make is, you can never execute a DLL file you can just use it's code by providing an entry point through an EXE or some other program.
