In MS Word you would need a macro.
My guess is that you mean either a batch file or a cmd file or a vbscript file or a powershell file. But you forgot to tell.
Can any one please post here command line such that- i have 3 files(a,b,c). I want to give an option in file a (y/n). When the user press y key, then file b should open and when n key is pressed file c opens.