It is not generally possible to just "simply" convert EXE files to DLL. That's work for a programmer, so it is very unlikely you would find some utility that could reliably do this conversion.
Convert Program executable to Dynamic Link Library.
We found 2 software records in the database related to .exe to .dll file format conversion.
Microsoft Windows software - convert exe to dll on Windows
A small utility for extracting icons
Convert from exe file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned exe to dll. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A resource editor for Windows programs