Dummy me. It was creating the Out file. I was just looking for it in wrong place. Now, when I execute script, i am getting:

Script error: expected sxpression
If AScan($fileb$ssn,1,9)+1

Here is my code:

cls
$fileA = loadfile("c:\ftp\ssn.txt")
$fileb = loadfile("c:ftp\data.txt")
$filec = Open(1,"c:\ftp\outdata.txt",5)

For Each $line In $filea
$ssn = substr($line,1,9)

For Each $line In $filea
If AScan($fileb,$ssn,1,9)+1
? "A SSN In file b was found In file a, writting the line To file c"
$ = WriteLine(1,$line+@CRLF)
EndIf

Next
? "DONE - Press any key to exit"
get $
Function loadfile($file)
DIM $fso,$f,$fs
$fso = CreateObject("Scripting.FileSystemObject")
$f = $fso.GetFile($file)
If @ERROR Exit(2) EndIf
$fs = $f.OpenAsTextStream(1)
$loadfile = Split($fs.Read($f.size),@CRLF)
Exit(@ERROR)
EndFunction