Run SQL Query Directly from shortcuts or Windows explorer

Create a batch file. Save it on desktop and run it as per need just by double clicking.
You can use SQLCmd OR OSql for it.

Steps:
1. Open one new notepad, put the sql commands that you want to excute, e.g:

USE MyDataBase
go
SELECT * FROM MyTable
go

2. Save the text file with .sql extension e.g.: SampleQuery.sql

3. Open another notepad at same folder location, put something like:

osql -S servername -U username -P password <samplequery.sql>
pause
</samplequery.sql>

4. Save this as .bat extension e.g.: MySQLQueryBatchFile.bat

5. Double click on this batch file will automatically execute the SQL query

Refer:
MSDN: sqlcmd Utility[^]
SQL SERVER – sqlcmd vs osql – Basic Comparison[^]