You can create a windows shortcut to run a .dyn file by pasting the following into the shortcut location box.
(It uses the Dynamo Command Line Interface)
“C:\Program Files\Dynamo\Dynamo Core\1.3\DynamoCLI.exe” -o “C:\Users\pstevens\Documents\_Work\Dynamo\CommandLineTest\Copy Directory.dyn”
The script which is being run copies a directory from one location to another. Here’s what it looks like: