EXE or DLL???

What is the difference between compiling a dynamic Library and an Executable file???? Which one is better for everyday-use-applications???

There are a few differences, the main being: DLLs are not really executables and you need an executable to use them :)

If you use activex dll's and activex exe's, you'll notice the major difference:
activex dll's run in the same process space as it's calling executable.
activex exe's run in their own process space.

For most intents and purposes, running a standard exe is fine. activex dlls and activex exe's have their good sides and bad sides (most of which I don't know).

Hope this helps.