In .NET we can build three kinds of binary files. They are:
1. Executables (with the extension of .EXE)
2. Dynamic Link Libraries (with the extension of .DLL)
3. Modules (with the extension of .MODULE)
These are all called assemblies.
.EXE files are intended to be executed on Windows.
.DLL and .MODULE files are intended to be used in building libraries. And the intension of creating libraries is to restrict the access of users to the source codes but to allow them to use the functionalities of the code. That is how programmers hide their codes from other companies or individuals.
A library is a compiled version of .NET (C#, VB
.NET, etc) source code. So you can use libraries created by others to add new functionalities to your program.
Visual Studio lets you to add DLL files created by others from the Project->Add Reference menu options.