Adding the Run option on the Start menu.

Don't blame the Windows Vista dev team for taking it our.  Most users don't use this option. However if you use it all the time it's a great option to have on your Start menu.

Right click on the Start menu and choose Properties.

Select the Start Menu tab and click on the customize button.

Check the "Rum Command" option.

Now check your Start menu, it should be there now.