The Run command is not enabled by default in the Windows 7 and in Vista Start menu. Here is how you restore it:

Fig 1: Vista Start Menu options

Fig 2: Windows 7 Start Menu options
The Run command is now restored to the Start menu. Also, note that you can launch the Run dialog box using the WinKey + R combination (as you did in earlier Windows Operating Systems), irrespective of the above Start menu setting. Run command is one thing I cannot live without!