As other's have suggested you can simply create a batch file to build and run your program. Copy this in Notepad and save as .bat.
@echo off
set /p class="Enter Class: "
javac "%class%".java
java "%class%"
As you want, the batch file will ask for a FileName when it runs. In your case, you can set it to 'myProgram' and it will then compile and run the program.
Just make sure your batch file and your java file reside in the same folder for this script to run. You can always tweak the bat file to even accept the full path of the Java file.