This may be kind of basic but... here goes.
If I decide to embed some kind of scripting language like Lua or Ruby into a C++ program by linking it's interpreter what does that allow me to do in C++ then?
Would I be able to write Ruby or Lua code right into the cpp file or simply call scripts from the program?
If the latter is true, how would I do that?
Because they're scripting languages, the code is always going to be "interpreted." In reality, you aren't "calling" the script code inside your program, but rather when you reach that point, you're executing the interpreter in the context of that thread (the thread that reaches the scripting portion), which then reads the scripting language and executes the applicable machine code after interpreting it (JIT compiling kind of, but not really, there's no compiling involved).
Because of this, its basically the same thing as forking the interpreter and running the script, unless you want access to variables in your compiled program/in your script from the compiled program. To access values to/from, because you're using the thread that has your compiled program's context, you should be able to store script variables on the stack as well and access them when your thread stops running the interpreter (assuming you stored the variables on the stack).
Edit: response:
You would have to write it yourself. Think about it this way: if you want to use assembly in c++, you use the asm keyword. You then in the c++ compiler, need to parse the source file, get to the asm keyword, and then switch to the assembly compiler. Then the assembly compiler needs to go until the end bracket of the asm region and compile this code.
If you want to do this,it will be a bit different, since assembly gets compiled, not interpreted (which is what you want to do). What you'll need to do, is change the compiler you're using (lets say c++), so that it recognizes your own user defined keyword. Lets say this keyword is scriptX{}. You need to change the c++'s parser so that when it see's scriptX{}, it stores everything between the brackets in the readonly data section of your compiled program. You then need to add a hook in the compiled assembly file to switch the context of the thread to your script interpreter, and start the program counter at the beginning of your script section (which you put in read only data section of the object file).
Good luck with that...