How do I do it in REXX?

You may have seen the Paradox 4.0 install script, which uses SysCreateObject to make a WPS object

Hope they don't mind me posting a fragment of the script by:

/* Rob Gordon  Borland International 6/8/92  */

title = "Paradox 4.0"
classname = 'WPProgram'
location = '<WP_DESKTOP>'
setup = 'PROGTYPE=WINDOWEDVDM;EXENAME='pdoxpath'paradox.exe;
  STARTUPDIR='pdoxpath';SET DPMI_DOS_API=ENABLED;
  SET DPMI_MEMORY_LIMIT=4;ICONFILE 'pdoxpath'pdoxos2.ico;'

BldObj:
call charout , 'Building : 'title
result = SysCreateObject(classname, title, location, setup)