Multiple Projects and One Solution

I have been reading through many blogs, the MSDN website, and Google search results trying to figure this out...

At what point, or in what situations would someone ever want to have multiple projects under one solution?

I have thought about having a project that contains forms and some "core" elements and another class library project that would contain SQL connection string builders, command interpreters for a console in a window and a data verification routine...the problem is, doesn't that create an exe and a dll file that need to be distributed?

If so, what advantage is there to this? Wouldn't it just be better to cram everything into the exe instead of splitting it?

Does it possibly make updates in the future easier?

Any guidance is appreciated.