>From my .NET application, I need to be able to execute a script against SQL Server. I have this script. It takes about 0.5 second to execute. I need to have it from the Web administration interface so I wouldn't have to get into SQL Server to execute it.
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>Is the best approach to create a stored procedure and use my regular data class from the framework to execute this? Or, is there a way to have this script sitting in a directory and simply executing it and collect the result into a TXT file?

I would suggest to simply use Stored Procedure.

There is a way to execute script directly too and I think I saw this question recently discussed, so I may run some searches, if needed.