In Terms .NET 3.5, What are the differences between a .NET Assembly, a Windows DLL and a COM Component?

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.