It is possible to create an event based on an EXE file you created. Depending on your script, the EXE file can or can not accept command line arguments.
Below, is an example of an event based on an EXE file:
This event is equivalent with running the my-application.exe param1 param2 prior or post build time depending on how you created the event.
In case your script doesn't require command line arguments leave the "Arguments" field blank.