I found out that there is a feature request for that particular feature, see https://thwack.solarwinds.com/ideas/4879, so I am afraid, that this feature is indeed not supported.
If you choose Windows Powershell monitor, you can see documentation at http://www.solarwinds.com/documentation/en/flarehelp/sam/content/orionapmphcomponenttypeswindowspowershell.htm, for that particular monitor supporting powershell scripting.
Or you can use Windows Script monitor, see documentation at http://www.solarwinds.com/documentation/en/flarehelp/sam/content/orionapmphcomponenttypeswindowsscript.htm. According to that documentation, it supports VBScript, JScript, PerlScript, ooRexxScript, PythonScript, TclScript, ActivePHPScript, RubyScript, Object Rexx engine and Delphi scripting engine.