An Interview Question: Whats the difference between an EXE and DLL?

The distinction between EXE and DLL files is entirely one of semantics. They both use the exact same PE [Portable Executable] format. The only difference is a single bit that indicates if the file should be treated as an EXE or as a DLL. Even the DLL file extension is artificial. You can have DLLs with entirely different extensions—for instance .OCX controls and Control Panel applets (.CPL files) are DLLs.

-- Matt Pietrek