Relationship .BIN/.SO & .EXE/.DLL?

I am trying to develop a WebStart launch file for the performance
pack fo the JMF, similar to the JOGL launch file(1).

The JOGL webstart supplies native librariess appropriate
to each platform - .DLL's for Windows, and .SO files for
the linux/unix boxes (not sure about Mac.).

The resources section looks like this..
    <resources>
      <jar href="jogl.jar" />
    </resources>
    <resources os="Windows">
      <nativelib href = "jogl-natives-win32.jar" />
    </resources>
    <resources os="SunOS" arch="sparc">
      <nativelib href = "jogl-natives-solsparc.jar" />
    </resources>
......

When it comes to the JMF PP, it is normally supplied in
an .EXE for Win., which I am guessing installs DLL's, and
for the Unix/Linux boxes, there is a .BIN file.

Am I correct in my (wild ass) guess that the crude
equivalence might be expressed as..
  *nix | .BIN - when run might install .SO
  Win. | .EXE - when run might install .DLL
?

(I realise this is straying off Java, but if anyone can
suggest a good search that will get me around the
extremely brief and generic string 'so' - let me know!)

(1) <https://jogl.dev.java.net/webstart/jogl.jnlp>
It is listed as a library/extension (with no main)
so there is no application will jump on-screen
if you follow the link.

Andrew T.