Something like this should work to test. If it runs into a problem it should output the error, however this doesn't appear to always be the case. This script works for me, but if I make the path bad it doesn't show any error on my windows test box for some reason.

Code
<?

$output = exec("C:/path/to/convert.exe -background lightblue -fill blue -pointsize 30 label:test C:/Path/to/a/writeable/directory/test.gif",$error);

if (sizeof($error) {
        echo "Error is " implode(' ',$error);
} // end if

?>

You'll want to change the paths above. Both to the convert.exe executable, and also to where it will output the test.gif file, it must be a writeable directory.