>As of the moment, I have an vb application that is used to receive info
>and return info. Unfortunately, it is in EXE. I want to change it into a .DLL.
>Can anybody please help me.
>Is changing it to .DLL will make it better? What are the advantages/disadvantages?

For starters, it will play better with IIS. For ActiveX exe's you have to setup your IIS to allow running EXEs. The default is that they are not allowed for security reasons.

You can just create the ActiveX DLL with the same code (assuming you currently have an ActiveX exe), just make sure you mark the appropriate settings for the project. One of the most relevant items for you would be setting your DLL for apartment threaded model.