not from the box...but because of the original Hal setup, it is possible to modify it to do almost anything. it depends on your level of skill with programming/or your level of programmer friends[

]
Autoit! is a program that is used to create programs to run windows stuff. If you can write programs with it, you can interface those with Hal and run anything windows.
But out of the box, like bill says, it can open programs.
It is also possible to have Hal run batch files, ect.
You could create programs with Autoit! then compile them, and have Hal run them with a voice command. i.e. "Please turn up the volume" in the Hal window would run an Autoit! program that would turn the volume up 3 notches in winamp.
Autoit! is free. (and no i don't work for them[

]) despite the repititous plugs.
-the dude