You generally should avoid using document.write() unless you absolutely have to use it for some reason... I don't think I've ever come across such a situation, and write a lot of Javascript.
Try this:
1) Put this in your HTML:
<script src="/scripts/teste.js"></script>
2) Put this in your JS:
alert('Yes! I am now a JavaScript coder!');
3) Open Chrome since it makes it easy to look for external resources loading and open the Network tab in Developer Tools (click the menu button at top-right, Tools > Developer Tools, Network tab).
4) Run your project and copy/paste the URL in the browser that comes up into this Chrome window, and hit enter.
When your page loads one of 2 things will happen:
A) You'll get the alert box you wanted or
B) You'll find out why it isn't loading because the Network tab will show the browser attempting to fetch teste.js and failing in some fashion, for example a 404, which would indicate you've got a typo in the path, or the script isn't where you thought it was, etc.
src="@Url.Content("~/Script/Teste.js")"so that the path with be properly resolved.~when you reference URLs in your MVC applications. If you don't, your website will break if it happens to not be located in the root directory.