Part of the Windows Operating System
It is a process that operates as a component object model (COM) application inside the local 'DataExchange Host' COM server.
If something you do requires a Hypervisor (virtual machine), then Hyper-V will likely be providing this function. This virtual machine (VM) guest needs a method to communicate with its host, which is your Windows session.
Data Exchange is the technique used to accomplish this. The DataExchangeHost.exe COM application is the implementation of said technique. If you really want to read more about it, feel free to.
Local processes can also take advantage of the DataExchangeHost COM application to send data back and forth, so you don't necessarily need to be running VMs of any sort for this COM service to be of use.
