There was a technique that used a thing called overlays[0]. You could write a program that is much larger than the available address space (64k on MS/PCDOS) but you split it up into functional areas or modules that are loaded on demand into a reserved area of your 64k address space.
I'm not sure when it started, but the .com and .exe extensions were ignored, and the loader looked at the first two bytes to see if it was "MZ" and was an exe file.
I like that every windows exe/dll still have the MZ on the front. Also a working DOS program there in the first hundred bytes which is pretty much a program to say 'hey run this in windows'. As the real windows header is 100 bytes in.
