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