I'll try and see this in a programming context as reverse engineering. Here's some things you could do:
- Get an idea of what APIs it'll call using depends.exe from the Microsoft SDK. You'll also be able to see what symbols it refers to.
- use procexp.exe / tcpview.exe / filemon.exe / regmon from http://www.sysinternals.com to see the activity of the process at runtime.
- Execute it with the WinDbg debugger from Microsoft to find out what's going on, also.
You could, of course, go further. As Zyphrax suggests in his answer, you are best doing this inside some form of virtual machine on the assumption that the code is dangerous.