.EXE is a standalone application program which run in its own. while DLL(Called Dynemic link Libraries) are shared files which used by other programs.DLL does not run in its own.DLLs are dynamic in nature means it associates with other program only when that program is being executed. Other types of libraries are called Static libraries which are included while compilation of program. The purpose of DLLs is to share same code among more than one program hence reduces code redundancy. .EXE and .DLL are concept of Win OS.While linux/unix have same kind of file with different file extension.
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