Windows also has a 'convert' command and that is probably the one that it is trying to execute from the DOS window.
One way around this is to rename the ImageMagick program from convert.exe to imconvert.exe and then use 'imconvert' instead of 'convert'.
The IM convert program is also only a command line program and must be executed in a DOS window, you can't get it do anything useful if you click on it.
Pete