It is harder with julia-0.3.0-prerelease. I tried the win64 version in 
Windows 7. (Other Windows versions should be similar, but I cannot test 
them.)

We still need a batch file. I named it Julia.bat. It contains (with my test 
setup path) only 2 lines
~~~~~
@"c:\t\Julia 0.3.0-prerelease\bin\julia-readline.exe" %*
if errorlevel 1 pause
~~~~~

Then we need to open a command prompt window with administrator privileges 
(important!), and type in (again with my test path)
~~~~~
ftype julia=c:\t\Julia 0.3.0-prerelease\julia.bat %0
assoc .jl=julia
~~~~~

(In some Windows versions you may need to reboot or kill Explorer, which 
immediately restarts taking the new settings - but Win7 works right away.) 
Just change the path in both places to fit your setup. Double clicking on 
(or executing) a *.jl file will run it via the batch file. At an error the 
opened console window will not close, but waits for a key press, so we can 
read the error messages. (I edit Julia files in Notepad++, and with F9 to 
execute the current file, it is just a keystroke to run a program.)

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