You can put the Run... command found in the Start Menu on the desktop or anywhere else you want

1)Click on the Start Menu
2)Drag the Run... command to the desktop
3)You can then cut and paste it anywhere you like.

I put it in my Quick launch toolbar, it saves you a mouse click and possibly a little time.

(Works only in XP style Start Menu not in the classic, and make sure "Enable dragging and dropping" is activated in Start Menu properties.)