You cannot open up a project for one type, like a standard exe for example, and save it as another type, like a DLL for example
Your answer make me confuse.I am not saving it. I just make the the dll from File -->Make Project.dll.

I have try it and found it work.
I open standard exe and From Project properites,I choose the properties type as ActiveXdll and from File--> I I go to "make project.dll" . I am able to create dll when I change the project type as ActiveXdll while I am on standard exe.