How to call a windows program in mysql prompt in windows
You cannot run OS commands in a MySQL CLI nor in MySQL Workbench. Why would you do that (except for trying to hack a machine via an SQL connection)? If you need to run an OS command, open a normal shell window (that still stands).

Update:
The system command only works on Unix like OSes (http://dev.mysql.com/doc/refman/5.6/en/mysql-commands.html), e.g. Linux + Mac.

MySQL Workbench doesn't support most of these CLI commands however (use and delimiter are 2 that are supported).