The first example above will fail because it is badly formed (single \, double double quotes ...). The second string is correct, but you need to be sure that this program accepts a filename and automatically opens it. Try the following in a command window:
"C:\Program Files\PSOFT\progeCAD 2019 Professional ENG\pcad.exe" "C:\Users\Max\Desktop\cad link trial.dxf"
Type all the above text on the same line separated by a space, not as two lines.
Note also, in this case you need single backslash characters, and you do need the double quotes around both strings.