Running a standalone script on MS windows (blech!) callable from SAS

[forkandwait]

Hi all

Is there a guide somewhere to creating a standalone script on windows?

The end goal is to have a SAS program run a forecast script written in a (real)
matrix language using the "X" command.  Said forecast script would read in a
file with a specified name and write out its results, which would then get
picked up by the SAS program again and written to a spreadsheet or whatever.

Such things are trivial on REAL operating systems (#! -q), I know, but in the
process of advocating for Octave/Matlab here at work, I need to figure this out.
 To be honest, I don't even know how to run scripts on windows at all -- where
do you click?  (You have to click something, right? ... )

Thanks again!