I assume that you havent yet got very much experience with Windows security settings, right?
The PC makes a distinction between code and data areas. Data Execution Prevention means that you cant execute whats in data areas. Thats for preventing some virus code from being executed, which is hidden in data files.
Well when you write a lite-C script, its also data! This can not be executed when you set up your DEP in a wrong way, thats the simple reason of your problem. You can then only execute executables, such as compiled EXE files.
Long story short: Don't tamper with your security settings without knowing the consequences very well.
This is also covered in the beginners FAQ, look in your manual or under "Support", so its already answered. I moderate this thread into the beginners forum.