FiddlerScript can call nearly any method in the .NET Framework. Beyond that, Fiddler itself exposes a method that you can use for this, from FiddlerScript or an extension:
Utilities.RunExecutableAndWait("C:\\temp\\myapp.exe", "myparameter1 myparameter2");
Please do keep in mind that this is a blocking call, so if you call it from a session-processing callback like OnBeforeRequest or OnBeforeResponse, that session will be blocked until the executable exits. If you call it from a UI-processing callback (e.g. a ToolsAction handler or the like) it will block the UI until the executable exits.
Depending on your needs, you may want to keep a log "in memory" and only flush it to disk from time to time. Or you could write an Exporter that would show up inside File > Export Sessions.