ahscript_setup.exe is a file provided in the AHP SDK that installs the basic ActiveX / COM scripting object and maybe the basic CM15A drivers (not so sure about that).
If you have installed the AHP SDK or even AHP itself already, ahscript_setup.exe won't do much for you.
ahcmd.exe is the command line interface for programs that can't handle ActiveX / COM to use to send X10 commands to the CM15A. It is normally found in the "Program Files\Common Files\X10\Common" folder (or on 64 bit Windows, the "Program Files (x86)\Common Files\X10\Common" folder).
An example of the use of ahcmd.exe is: "ahcmd.exe sendplc a1 on" making sure the active or "Start in" folder is the one containing ahcmd.exe
I just tested this on my Windows Vista 64 bit system with AHP installed, but the AHP SDK not installed.