Like the desktop versions of Windows there is a Run menu in Windows Mobile. But it is hidden. To access it hold down the action button and access the context-menu (press-and-hold) button on the clock.
Selecting "Run" will display the run menu.
In case you are wondering why any one would want to have access to this here is the reason. Several programs on Windows Mobile devices can accept command line arguments. But since there is no command line in Windows Mobile there's not a clear way to pass such arguments to a program. A typical user would never need this, but a developer would.
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