The "shebang" (sharp+bang) notation #! is very specifically a Unix/Linux kernel thing; when you use the exec(2) system call to execute a file, there's logic that will look to see if the file is a script and, if so, invoke the specified interpreter on it, instead of just expecting the file itself to be an executable binary. I don't think there's any analogous way to turn a script with an arbitrary interpreter into a directly-executable command on Windows using CMD.
What you can do is pick a file suffix (like .awk), associate that suffix with the awk executable in Explorer, and then use start (or double-clicking) to run awk scripts instead of just typing the bare filename.
But you want to turn an awk script into a command that you can run at the CMD prompt, the most reliable way would be to make a batch (.bat) file that runs awk on the file manually, which looks something like this (assuming the awk script file is in the same folder as the batch file):
@echo off
awk -f "%~dp0filename.awk"
Here's a working example built from your script:
C:\>echo %PATH%
c:\users\mjreed\bin;C:\windows\system32;C:\windows;...
C:\>type \users\mjreed\bin\hello.bat
@echo off
awk -f "%~dp0hello.awk"
C:\>type \users\mjreed\bin\hello.awk
BEGIN { print "Don't Panic!" }
C:\>hello
Don't Panic!