Richard Lowe has a nice approach to referencing .exe assembly in visual studio. This is one part of VS that I hate. I seem to remember some beta versions of VS.NET 2002 supporting references to exe projects and then it disappeared before final release. Anyway, though I haven't tried it yet this approach looks good:
http://blogs.geekdojo.net/richard/archive/2005/03/23/7520.aspx