The easiest way to do this is with conditional build and defining the target in the source. By simply commenting the {$define dll} line, you can build an EXE instead of a DLL.

Create a new Web Server Application by choosing "File->New, Web Server Application", and selecting a "ISAPI/NSAPI Dynamic Link Library." After the project has been created, save it, and click "Project->View Source." Copy and paste the sample code from below into the project source.

Download a sample project