Windows Vista’s Start Menu by default does not show the Run command. As you see in the picture below the run option is not available.
to enable the option right click Start button and click on properties and select the Customize button. This would display the Customize Start Menu dialog as as shown below
Select the checkbox adjacent to Run command to enable the Run command option in the Start Menu.
An alternative to this is to use the Windows Key + R to invoke the Run command dialog.