It much depends on what kind of projects you have. If you want to pass something between 2 processes (EXE application for example), you'll need to use on of those many interprocess communication methods (simplest being a file or registry entry). If you need to communicate between EXE and DLL, then you can simply use exported function calls to set or return the file name.
As said - it much depends on what you use and need.
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When you do it, do it right.