The LIT creation is command line only. Fortunately you do not need to type; you can drag and drop the files.
Convert the ebooks to Epub. (This should provide the best quality conversion.) Then use the "save to disk" feature, and save the epubs to your desktop. Then open a window and navigate to the calibre folder. Drag just the epub files over the "any2lit" icon. This should start the conversion. The files should be wherever MSReader puts LIT files (probably in your My Documents folder).