Ken - while we are waiting for Ozpeter to wake up (he's in Australia if you didn't know), let me respond.
Plug-ins are mini-programs that work from inside a "host" program. Most VST effects are plug-ins. Most VST instruments are plug-ins. In this context, plug-ins are *.dll files. You cannot launch a dll file. It won't run by itself. It must be called from inside a host program. The beauty of this is that VST effects and VST instruments are not limited to just one or two programs. They will work in any host program that supports them. AA 1.5 supports VST effects but not VST instruments.
A stand-alone plug-in is a *.exe program - or any other launchable extension. You can double-click on "plug-in-name.exe" and it will launch and run all by itself. It does not need a host program. In all other respects, "plug-in-name.exe" should work the same as "plug-in-name.dll" - if the plug-in's author says so.
The advantage of using a plug-in in, say, Sonar is that you can record the output of the plug-in directly into Sonar (someone correct me if I am wrong about this). If you use the stand-alone version, it is not hosted inside Sonar - so you would need Virtual Audio Cables or some such to get the sound from "plug-in-name.exe" (the stand-alone) into Sonar.
The author of "Savihost" has created a program to turn plug-ins into stand-alones. I gave the link above, but will repeat it here for convenience. If you wish to record the output of your plug-in, it makes sense to launch it from within the application with which you are going to record (e.g., Sonar; AA). However, if you are experimenting with different plug-ins and simply want to launch them quickly, turning them into stand-alones with the help of Savihost makes them easier to launch.
http://www.hermannseib.com/english/savihost.htm
(if you get a "could not be found" message, highlight address in browser and reload)
You should be able to launch your sfz *.dll file with Savihost, and then load your Yamaha Grand. Two caveats, tho. You will need to rename "Savihost.exe" to SFZ.exe in the same directory where sfz.dll (or whatever the file name is) lives. This may then become the same file name as the stand-alone version of SFZ. Be careful of that. Second, Savihost is a relatively new program. You may discover that it works wonderfully well, or not well at all. If you decide to try it, let us know what you discover.