EXE, or executable, files are programs that do things on your computer. For example, game.exe may be a tank game. Files with different extensions, like .dll, are often support files for a program. Incidentally, .dll files contain lines of code that programmers make use of when making a program of their own - .dll files contain commonly used routines and code that all programmers user in their programs, making it possible for programmers to focus on the unique code for their program. EXE files are commonly infected by viruses, when after infection, run the virus each time the program is run.
An EXE file is an executable file that typically contains a program. These program files are the common host of known viruses and can be executed from other programs, batch files and particular script files. Once infected, these programs continue to run the virus each time they launch.