Ive written a windows service in DLL project. ( c#)
everything is fine with code and also InstallUtil is fine :

How every when I start it – via services.msc – it tells me

why is that ? Must I use EXE file (EXE project)?
I dont need the benefits of the exe file.
I just need to activate my dll as service
possible ?
Yes. Every Windows process starts by loading an exe, then its dependencies and then executing the entry point of the exe.
If you have a suitable entry point in your dll (essentially a
Main) then a simple exe that just calls that entry point would be sufficient.