.bat files won't open :(

Whenever I open a .bat file in Windows XP, a error windows pops up saying:

"Windows cannot find '(Insert .bat file path here)'. Make sure you typed the name correctly, and then try again. To search for a file, click the Start button, and then click Search."

I've tried every .bat file that I can find, they all say the same thing.

Now for the strange part: I used Microsoft Virtual PC 2007, loaded up a copy of Windows XP, ran a .bat file (inside the virtual machine) and it ran just fine!

I really need some help, a game I just downloaded (Sauerbraten) uses a .bat file to run, and since .bat files don't work, I can't play it!

Please help!