can't execute command

Dear Sir/Madam

i am trying to run mysql_install_db to set my previliges,
but my Windows XP command prompt give me the following error:

'mysql_install_db' is not recognized as an internal or external command, operable program or batch file.


i am executing this command from c:\mysql\scripts\ 
and the mysql_install_db ends with .SH but my command
prompt can't execute that file ending with .SH


How can i run this command?
please help 
thank you very much
Sandeep Sodhi