Welcome to the OpenAI community @contenthydra!
You need to add your Python installation to your Environmental Variables PATH variable because that’s how you create the “linkage” with command “openai” within Windows.
See the metioned esource at the end in order to help inform you in more detail was is going on and help you with couple other potential issues you may run into.
You’ll find that the ‘openai’ file is essentially a Bash script meant to be run through a terminal that supports that but Windows Command Prompt and PowerShell don’t support Bash scripting out of the box.
Resource:
CLI data preparation tool Windows
General API discussion