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On shared servers you may not have permission to run executables in your virtual directory. In Win2003 the aspnet worker process has default execute permission on the winnt/temp directory, so I usually copy the executable there first. I copy it each time, because the sysadmin may delete the temp files any old time. Then I kill the file when it is finished.
You need to establish some way to determine when the executable is finished so you can dispose the process object. I usually make a loop to check for some finished condition and sleep the thread each time through the loop until it gets a successful completion. I also use a timer to bail out if I don't get success within some reasonable time.