I downloaded the SMLNJ installer for Windows and ran it. This has created a shortcut to SML of New Jersey which I can use as an ML interpreter. This installer is also supposed to have installed ML Lex, but I have absolutely no idea about how to run it. The SMLNJ website says how to run it from Unix, but Windows is not Unix.
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Look around your SMLNJ install directory, there should be an executable for it in there somewhere. In Linux, the directory INSTALL-DIR/bin/
contains symlinks to all of the executables that come with SMLNJ, including ml-lex, ml-ulex, ml-antlr, etc.

Patrick Collins
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