When you build a job you the option to choose "Shell launcher". The box corresponding to the file types necessary for the execution of the Job are selected by default.
For "Shell launcher" you have option based on your environment -
All: exports the.batand.shfiles.
Unixexports the.shfile.
Windowsexports the.batfile.
Now once you are done with this simply click on .bat file on windows or .sh file on unix system to run the job directly.