Just appending to PMroz's answer, if you don't want to type out a long file_list, you could always organize your files into a directory then do something like below:
Names Default To Here( 1 );
dir = Pick Directory();
file_list = Files In Directory( dir);
for (i = 1, i <= nitems(file_list), i++,
if(Is File(file_list[i]),
::g_dataset = open(file_list[i]);
include("c:\scripts\myscript.jsl");
// close(::g_dataset, nosave);
)
);