Some progress (cheers!):
Re-naming the file to convert-ly.py enabled my system to treat it like an executable file. However, now it says it can't open the files:
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C:\Users\Jerry\Documents\RPC\Music\Christmas>convert-ly.py -e *.ly
convert-ly.py (GNU LilyPond) 2.22.1
convert-ly.py: error: *.ly: Unable to open file
convert-ly.py: warning: There was 1 error.
C:\Users\Jerry\Documents\RPC\Music\Christmas>
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There are 34 LilyPond files (all ending with .ly) in this folder. However, the multi-word names are separated by dashes, as in "It-Came-Upon-A-Midnight-Clear.ly". Does this confuse convert-ly?
Am I missing something else?
Jerry