For a start I would never run a .bat file on my Windows without checking it first. And also every now and then I do go through my registry Run keys mainly to make sure that things such as Windows Media Player doesn't get a briliant idea of putting it self there to annoy me in secret next time I boot up.
And I disagree with ZeTtA_bYtE why would another program point to it when it would make life so much easier just to run it from within the program itself in the first place.