Steve,
This can't be done natively by WF or any other Web Scripting as it would pose a real security problem! Image a website that can execute any code it wants on your computer! in WF, the execute and run will only run files on the SERVER, not the client.
That being said, there are 2 ways I can see to get around this:
The first is to use an activeX like LaunchInIE (
http://www.whirlywiryweb.com/q/launchinie.asp). This activeX allows you to call a file or a script on the Client computer, however for security reasons, you need to configure a registry entry on each machine .This registry lists the URL that is "allowed" to call the activeX. Without this, anyone could execute any code on your computer.
The second way would be to create the batch file on the server with whatever customization you need, write the file to a location in the server, then present a hyperlink to the user that they can use to Download and Run the app.
With both these methods, there is no way for you to monitor the progress or results of the file (unless you had it perform some other action like send an email or something like that) on the Workflow Server.
We use LaunchIE in conjunction with the help desk to launch ADUC and other items from within the Helpdesk console - this is just as a convenience for our workers...
rob