This may be a problem with your build configurations.
In the solution editor, right-click on the solution and select "Configuration Manager". This will result in a list of all projects in the solution. The project that creates the "EXE" is probably set to "x86", and the project (s) that create the "DLL (s)" is probably set to AnyCPU.
You must have a “Platform” for each of them, plus a “Platform” for “Mixed Platforms,” which will build all the projects.
Now check your build definition. Browse the Process tab and see the Items to Build setting, make sure you create Release | Mixed Platforms. If you get only DLLs in your build release, I suspect your build is set to "Release | AnyCPU"
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