yes into a CMD command console.
or you can use this trick :
stockfish.x86-64-bmi2.halfkp_256x2-32-32.profile-learn.2020-08-30.exe
learn convert_bin check_invalid_fen 1 check_illegal_move 1 output_file_name train_me.bin 01_plain.txt
learn convert_bin check_invalid_fen 1 check_illegal_move 1 output_file_name train_me.bin 02_plain.txt
learn convert_bin check_invalid_fen 1 check_illegal_move 1 output_file_name train_me.bin 03_plain.txt
...
quit
But at the end of this, you keep several PLAIN TEXT files but all their data are stored into only one NNUE BIN file.