Find the file you want to have a run command for

Ex.
Microsoft word - I would rather type "word" than "winword"
Find the file
C:\Program Files\Microsoft Office\Office12\WINWORD.EXE
I've got Office 07 it might be different from what you might have, I'm not sure

Right-click winword.exe
tell it to copy

goto c:\
because some versions of windows
won't let you directly copy something into the "Windows" directory
Right-click a blank space
tell it to paste a shortcut

Rename it to what you want to type in the run command box
for "winword" i renamed it to "word"

then drag it to the "Windows" folder

Vista users - UAC should pop-up if you have it enabled
tell it to continue

that's it, press "Win+R" and type "word"
and press enter

Make sure you leave out all the quotes when renaming and such

You can do this with any file

Enjoy