The DOS prompt is what we used to use before Windows was inflicted on us. Its legacy software for the most part, several of its best features dont work anymore (piping for instance, *NIX OSes all have it, but DOS lost it years ago
). Its also the fastest way to get things done if you know exactly how your computers organised, what you want to do and how you do it.
You get into the DOS prompt by going into start->run->"command"
Then either you use the CD command to get to the weiDU folder, or you open it up in windows and then run the command program to start in that folder. Type the given command and your into the program. From there I dont know, never used weiDU.
From what I understand, weiDU lets you program at the lowest level the Infinity Engine will understand - therefore you can in theory make anything the original designers could. Immensely powerful, but not exactly easy.
Im not familiar with this scripting language, but it isnt very complicated. Near english syntax. Shoudnt be to hard to learn to use it. Just follow tutorials and pay attention to what their doing and why their doing it.
Since weiDU isnt concerned with operating system details, you are not likely to damage any files but the ones your working on. Therefore, take backups of those files. At a guess you need to make a copy of dialogue.tlk and any files you plan to open.