I think that the following two links are a good resource to get an understanding the PE file structure and the Windows loader.
- An In-Depth Look into the Win32 Portable Executable File Format (MSDN Mag Feb 2002)
- An In-Depth Look into the Win32 Portable Executable File Format, Part 2 (MSDN Mag Mar 2002)
The exact quote from the March 2002 article, which I believe answers your question, is:
The primary purpose of a .NET
executable is to get the .NET-specific
information such as metadata and
intermediate language (IL) into
memory. In addition, a .NET
executable links against
MSCOREE.DLL. This DLL is the
starting point for a .NET process.
When a .NET executable loads, its entry point is usually a tiny stub of
code. That stub just jumps to an
exported function in MSCOREE.DLL
(_CorExeMain or _CorDllMain). From
there, MSCOREE takes charge, and
starts using the metadata and IL from
the executable file. This setup is
similar to the way apps in Visual
Basic (prior to .NET) used
MSVBVM60.DLL.