Every application be it web or windows would have an entry-point for execution. Anything in compiled form in .Net is an assembly which need not always be a DLL file. An EXE file is a .Net assembly with an entry point and few headers in the beginning of the file that identifies itself as a stand-alone executable to the windows operating system. In case of your web-application your asp.net pages are the entry points that users would type in a browser and start the application. In case of a stand-alone windows forms desktop application, it is an EXECUTABLE file, which user can click on run.
I am more a Web Forms kind of developer so I am a little confused as to what is happening here. Why is it a .EXE and not a .DLL?
Having said this, It is also important to note that, just like the asp.net is not the only platform to develop web-applications [you have php, jsp, etc.], .Net windows forms is also not the only way to create stand-alone executables. You can make EXEs in C, C++, VB, Delhpi, etc. only difference would be that they will not be .Net assemblies but all of them including .Net executables will have an entry-point to start execution from and the EXE header that identifies them as executables on the host windows operating system.