You can also edit your path settings in windows to include where the luac.exe is located at and then you can run it from any folder and not need to have it stored in the same folder as your scripts.
I personally store luac.exe in the root of my c drive and put all scripts that I am working on there since I have nothing else in the root of my c drive....but I only do this since I know what I am doing and don't get too confused about several files being in that part of my drive.
If you choose to do this how I do...just go to run in your start menu...type cmd to open command prompt. Then type cd \ and it will take you to the root of your c drive (main drive for most people) and if you put luac.exe there....then just store all scripts you are currently working on there. I store my finished scripts elsewhere in their own folder so I don't get too many files at once in the root of my c drive.
I will eventually code up a gui for the compiler so command line won't be needed and all you will need to do is just use a gui to compile all scripts and maybe even do batch compiling since I have noticed that some people do have a hard time with command prompt. I have no such issues since I have been around computers since ms-dos was the latest os and still remember every single dos command which also works on windows command prompt since command prompt in windows is just a emulated dos and nothing more. And a FYI for the nerdy types out there...dos actually stands for Disk Operating Shell.