You have two options:

1. Create an action of type "execute command on management server", entering your command in "command" field like following:

c:\\Rcmd \\\\exchange1 osql -S exchange1 -U sa -P ourpassword -Q "insert into VGSMDB..loglog (destination, content) values ('Majors','Server %n is down')"

Note that all backslashes are doubled, because backslash is an escape character in action command definition, and you have to use \\ to get single backslash in command.

2. Modify you .bat file to accept server name as argument:

@echo off

c:\Rcmd \\exchange1 osql -S exchange1 -U sa -P ourpassword -Q "insert into VGSMDB..loglog (destination, content) values ('Majors','Server %1 is down')"

pause

and define action to call it, with "command" field set to

my_script.bat %n

In both cases, just add this new action to appropriate rule in event processing policy.

Hope this helps!

Best regards,
Victor