I think your batch file is closing because once it gives you your resut (of "Fine, Thanks.") the batch file has no more commands, so it assumes it is at the end. Try adding your 'set /p variable=You Say' command again after the response is given. Once they have asked a question, and given a response, they need to be able to input another command/question, this will keep the batch running, and allow for multiple interactions during the same session. You will need to program in an exit command though, to close out the conversation and batch when your done talking to the AI program.
ADDED 4/11/07 7:40pm: After reading your 'comments' response, I've played around with your commands. I figure the space is throwing off the command. This is what I've done and it's working well for me.
@ECHO OFF
:START
set /p variable=You Say:
set userinput="%variable%"
IF %userinput%=="how are you" ECHO Fine
IF %userinput%=="no" ECHO I see.
GOTO START
Basically, I am taking the variable you are getting, and wrapping it in quotes (changing the variable to userinput, and warpping the quotes during this set). Then in the IF statments, wrap the 'user commands' in quotes, and it will reconize these and prompt the correct phrase and then ask the You Say again. The code block above is an exact copy of what I've been doing, and its working well on my end.