It doesn't like the spaces in your path, so all it sees is C:\Documents, and it's adding the .sql on the end, thinking that you probably are trying to run start C:\Documents.sql.

You can try this:
start "C:\Documents and Settings\blah\Desktop\CISxxxx\CISxxxx\Data\Ch02\prech02.sql"

or just move the CISxxxx folder into a directory path with no spaces, like C:\CISxxxx and then run it from there.