Let me take up an example of how to  create a customized run command for opening the Internet explorer. Once  you create this command, you should be able to open the Internet  explorer just by typing “ie” (without quotes) in the Run dialog box.  Here is how you can do that.
1. Right click on your Desktop and select New -> Shortcut.
2. You will see a “Create Shortcut” Dialog box as shown below
3. Click on “Browse”, navigate to:  Program Files -> Internet Explorer from your Root drive (usually C:\)   and select “iexplore” as shown in the above figure and click on “OK”.
4. Now click on “Next” and type any name  for your shortcut. You can choose any name as per your choice; this  will be your customized “Run command”. In this case I name my shortcut  as “ie”. Click on “Finish”.
5. You will see a shortcut named “ie” on  your desktop. All you need to do is just copy this shortcut and paste  it in your Windows folder (usually “C:/Windows”). Once you have copied  the shortcut onto your Windows folder, you can delete the one on your  Desktop.
6. That’s it! From now on, just open the Run dialog box, type ie and hit Enter to open the Internet Explorer.
In this way you can create customized  Run commands for any program of your choice. Say “ff” for Firefox, “ym”  for Yahoo messenger, “wmp” for Windows media player and so on.
To do this, when you click on “Browse” in the Step-3, just select the  target program’s main executable (.exe) file which will usually be located in the C:\Program Files folder. Give a simple and short name for  this shortcut as per your choice and copy the shortcut file onto the  Windows folder as usual. Now just type this short name in the Run dialog  box to open the program.