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I personally never execute DLL files
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Yes you do
Ever called a predefined function for a windows app from an IDE?
Used a function such as Left(), Right(), Mid(), Time(), Now() , read or written a windows property Screen.Height, App.Path. Displayed a value with MsgBox() in your code?
These all come from DLLs
If you code anything in .net for web use it gets compiled into a DLL by the server.
DLL are coded in the same way that a class would be and they inherit nothing from the calling app.
Testing will depend on what your IDE is capable of. Some will allow for inprocess DLL debugging, where the debugger can enter the code that is run in the DLL, others won't.
One method of testing is to initially set the code for the DLL to run a part of the main application and test
thoroughly then convert it into a library and test again.
Personally I often build apps using DLLs both ActiveX and real ones
I have a library of functions that I have built up over the years and include these into my apps with DLLs.