Looks like you cannot babel cannot access to local-file url of myScript.js i.e. file://.../myScript.js. It throws cross origin request error. To solve this, you need to serve your local files from a server like node. And ReactJS docs says not to transpile during runtime by loading babel cdn, atleast in Production, instead use through webpack.
Cutshort: instead of loading script from different JS file, add your component in a script tag inside your HTML. That will work, otherwise serve those files from a node server.