You don't say anything 'bout your environment (Progress/OpenEdge version, OS, architecture ..., what the program does and what the output of that program is).
You need a Progress runtime environment in order to be able to run a Progress program. This could be the client runtime or an AppServer/WebSpeed Broker. I don't think it's possible to create a DLL to run a Progress program - at least not with a reasonable effort.
The way to go is depending on what you have and what you want to achieve.
Regards, RealHeavyDude.