You need to escape the backslashes, e.g.,
var commandtoRun = "C:\Documents and Settings\UserDesktop\ABCD.exe";
Update:
This works fine on my machine:
var oShell = new ActiveXObject("Shell.Application");
var commandtoRun = "C:\Windows\notepad.exe";
oShell.ShellExecute(commandtoRun,"","","open","1");
Update 2
You can save this as a file with the extension .hta
and it should work in your browser:
<HTA:APPLICATION ID="oMyApp"
APPLICATIONNAME="Application Executer"
BORDER="no"
CAPTION="no"
SHOWINTASKBAR="yes"
SINGLEINSTANCE="yes"
SYSMENU="yes"
SCROLL="no"
WINDOWSTATE="normal">
<script type="text/javascript" language="javascript">
var oShell = new ActiveXObject("Shell.Application");
var commandtoRun = "C:\Windows\notepad.exe";
oShell.ShellExecute(commandtoRun,"","","open","1");
</script>
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