Add the Run command to the Start Menu

In Windows XP:

Right-click on the Start Button and select Properties, click Customize, scroll down and check the Run command check box, click OK, click Apply and OK.

In Windows Vista:

-right click on the Start Menu button. Click ‘Customize’, and scroll down to the checkbox next to ‘show Run command’. Then click ok, and ok again. In Vista, however, the Run command isn’t necessary. any command can be typed into the ‘Search’ field in the Start Menu as well.

You can use the Start Menu Search box to launch programs like the Run dialog box.

source: techguylabs.com