Windows EXE files can contain resources, including binary resources. In particular, you can embedd one or more DLLs into an EXE, and then extract them at run-time. Let's learn more about that in the following article:

Embedding (and Extracting) Binary Files like DLLs into an EXE as Resources

by Giovanni Dicanio

From the article:

A Windows .EXE executable file can contain binary resources, which are basically arbitrary binary data embedded in the file.

In particular, it’s possible to embed one or more DLLs as binary resources into an EXE. In this article, I’ll first show you how to embed a DLL as a binary resource into an EXE using the Visual Studio IDE; then, you’ll learn how to access that binary resource data using proper Windows API calls.

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Once you have embedded a binary resource, like a DLL, into your EXE, you can access the resource’s binary data using some specific Windows APIs. (...)

The above “API dance” can be translated into the following C++ code: (...)

I uploaded on GitHub a C++ demo code that extracts a DLL embedded as a resource in the EXE, and, for testing purposes, invokes a function exported from the extracted DLL.