You can set output file name and path in Project/Settings/Link. The trick I
usually do (especially when Dll's calling exe is in another language) is to set
up the directories in the following manner. Let DLL_Dir and EXE_Dir are root
dirs of the dll and its calling exe workspaces and they reside in the same
directory. Then, for dll set the output file name as "..EXE_Dirdllname.dll"
and for the .exe set output file name as ".EXE_Dir". In this way, both exe and
dll will be located in EXE_Dir.
If both exe and dll are in CVF, it's usually a good idea to define two projects
in the same workspace (Project/Add to project/New/Projects). You can switch
between projects in one click using Project->Set active project (or using
"Build" toolbar instead of "Build MiniBar").
Another way is to specify path to dll in exe's Project/Settings/Debug/Additional
Dlls, but that will work only when debugging.