When I first started using Windows Vista I ran into this problem. I couldn't find where the "Run" link was! I finally had to google it...(having not known the hot keys to get it all these years... tsk tsk) So in case you have just bought/installed Windows Vista (poor soul) and you are googling "WHERE THE H3!! IS MY RUN????" Well here it is...
To open the "Run" window in Windows Vista,
1. While holding the windows key (the key with the windows emblem on it).
2. Press the 'R' key.
BANG! there is it! lol