Need help trying to run a batch file from a SQL Agent job
The 'Open' button is for the convenience of importing a large script into the command window, which is not helpful with this type of job step as I explain below.  If you want it to run a batch file, you simply enter the path and filename, such as:

D:\scripts\DoSomething.bat


or 

D:\executables\DoSomething.exe


And be sure to specify the type of command as "Operating System (CmdExec)"

Whatever account the step is set to run as will need permission to execute the batch file or process as well as access to any resources that are used in the script or process.

Also, a quirk of this type of job step is that it will only run one command.  So if you put the following in the command input box:

rem This script does something
D:\scripts\DoSomething.bat


It will run the first command and then stop, so the batch file will not be run.  So that is why the 'Open' button is not really helpful for CmdExec job steps.