This should do what you are asking. I haven't verified that the cancel button works, as JMP ran all the scripts in the folder on my computer very quickly.
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*/
Names Default To Here( 1 );
//get scripts to run
lstScripts = Files In Directory( "$Documents/My Scripts/" );
//set up stop button
nw = New Window( "Running",
Text Box( "Running all the scripts" ),
Button Box( "Cancel", Stop() )
);
For Each( {i}, lstScripts,
If( Word( -1, i, "." ) == "jsl", //make sure it's a .jsl file
include( "$Documents/My Scripts/" || Char( i ) ); //run it
Wait( 0 ); //this allows JMP to recognize if cancel button has been pressed
)
);
nw << close window;