A Windows DLL contains library code to be used by any program running on Windows. A DLL may contain either structured or object oriented libraries.
COM (Component Object Model) is the component model based on the object oriented design, which means that the components represented by the COM component exists in the form of classes and objects implementing a standard specification defined by COM. COM components can be used by any program running on Windows Operating System; be it is written with VB, C++, Java or even some .NET compliant language like C# and VB.NET.
Dot NET assembly is the component standard specified by the .NET. Hence, dot net assemblies are understandable to only Microsoft.NET and can be used only in .NET managed applications.