alert("begin");
var fso = new ActiveXObject("Scripting.FileSystemObject");
var testfile = fso.CreateTextFile("c:/testfile.txt", true);
testfile.WriteLine("This is a test.");
alert("end");
testfile.Close();
fso=null;
if your ActiveX security settings are low enough (otherwise just forget about it), try
<script language="javascript">
var fso = new ActiveXObject("Scripting.FileSystemObject");
var a = fso.CreateTextFile("c:\\testfile.txt", true);
a.WriteLine("This is a test.");
a.Close();
fso=null;
</script>