How do I execute a *.dll file

While many people have pointed out that you can't execute dlls directly and should use rundll32.exe to execute exported functions instead, here is a screenshot of an actual dll file running just like an executable:

While you cannot run dll files directly, I suspect it is possible to run them from another process using a WinAPI function CreateProcess:

https://msdn.microsoft.com/en-us/library/windows/desktop/ms682425(v=vs.85).aspx

To run the functions in a DLL, first find out what those functions are using any PE (Portable Executable) analysis program (e.g. Dependency Walker). Then use RUNDLL32.EXE with this syntax:

 RUNDLL32.EXE <dllname>,<entrypoint> <optional arguments>

dllname is the path and name of your dll file, entrypoint is the function name, and optional arguments are the function arguments

You can execute a function defined in a DLL file by using the rundll command. You can explore the functions available by using Dependency Walker.

DLLs are shared libraries which are used by other windows programs while EXEs are the files which are actually executed and are linked to DLL files so that they can use DLLs.
Both are of same format, PE(portable executable or format of machine code in windows in simple words).
In other words EXEs contain the entry point(main) and the DLLs contain the library functions.. You cannot execute a file which just contains library functions you can just use them via other programs.

But still there are programs like rundll32.exe which provides that entry point and some minimal framework required by DLL functions to be called.
The point that I want to make is, you can never execute a DLL file you can just use it's code by providing an entry point through an EXE or some other program.