Put sqlite3.exe wherever you want, as long as you remember that place and you're able to start sqlite3 from there.
Applying a script to a database (maybe a newly-created one), in command prompt:
sqlite3.exe my-new-db.somesuffix < myscript.sql
Executing a script within interactive sqlite3 session:
sqlite3.exe my-new-db.somesuffix
....
.read myscript.sql
....
Both variants are valid and usable at times. (Note: if your .sql was generated for non-sqlite database, I'd expect that it will require some changes to work in sqlite3. And things like stored procedures and user-defined functions will be definitely lost).