You need to run the JackCompiler from the command line.
Microsoft Windows XP [Version 5.1.2600]
(C) Copyright 1985-2001 Microsoft Corp.
c:\TECS\projects\file\JackCompiler>JackCompiler
Compiling "c:\TECS\projects\file\JackCompiler"
C:\TECS\projects\file\JackCompiler>JackCompiler Main.jack
Compiling "C:\TECS\projects\file\JackCompiler\Main.jack"
C:\TECS\projects\file\JackCompiler>
You need to add the nand2tetris/tools directory to your path to make this work.
--Mark
See this post.