Question on DLL's versus EXE's

I'm a novice programmer, and have only written a couple of smallish EXE's that I have rolled out to my end users.

I have a larger project in mind, but the idea of writing all of the code into one EXE file seems a waste. There would be a lot of wasted procedures sitting in memory and only called occasionally.

Can someone point me to a web reference that explains exactly what a DLL file is and how one references it from a core EXE file? I'm completely at a loss as to how to compartmentalize my code into separate files for different functions and have them only load as needed.

This sums it up pretty well: http://en.wikipedia.org/wiki/Dynamic-link_library

It depends on the technology you are using. Sometimes even external dll files are loaded in memory even when not being used.

.NET apps can be created in a way where the only files loaded in memory are those files or dependencies that the user is accessing at the moment in time.