Well, if it was checked before, and now isn't, you should be able to see the whole file extension after the name, i.e
alphaexit.sqs.txt
that means it's a *.txt (wordpad) file, and not a *.sqs (ofp script) file. So just right click on it, select "re-name", and remove the .txt ending, so you're left with just the .sqs.
Then make sure all spelling is correct, that the file is in your mission directory as artak there said (\Users\YourName\Missions\yourMissionName.abel/cain/eden/intro). And make sure that when you execute it in the mission editor, you've got the spelling all right, together with quotes and whatnot, i.e
[]exec "AlphaExit.sqs"
I can't see any reason why it wouldn't work now
Hope we've helped...
Wolfrug out.