The Project > Settings... dialog's Link page controls whether a project is linked as an executable or as a DLL, and what its name will be. It also allows you to specify version information for the target, a base address for it, and the Windows subsystem it runs in.
Note: The default linker used in Functional Developer is a GNU linker. If you have the Professional or Enterprise Edition of Functional Developer, and own Microsoft Developer Studio, you can use the Microsoft linker instead. To change the default linker, go to the main window and choose Options > Environment Options..., then choose that dialog's Build page.