You can't "execute" a DLL. You can execute functions within the DLL, as explained in the other answers. Although .EXE files and .DLL files are essentially identical in terms of format, the distinguishing feature of an .EXE is that it contains a designated "entry point" to go and do the thing the EXE was created to do. DLLs actually have something similar, but the purpose of the "dll main" is just to perform initialization and not fulfill the primary purpose of the DLL; that is for the (presumably) various other functions it contains.
You can execute any of the functions exported by a DLL, assuming you know which one you want to execute; an EXE may contain a whole lot of functions, but one and only one is specially designated to be executed simply by "running" it.