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I think you are referring to the 'Run' box/option you get when clicking on the Start button in Windows. From that box you can launch a command. In my opinion this doesn't exist in Linux, but you can launch about any command from a terminal. Other users already have indicated how you can switch to a 'fullblown' terminal session, or you can open a terminal window from within your GUI.
To list Linux commands and their descriptions I find these sites very helpfull:
You mean like a window where you type the command and it is run as a program?
You can just type in in a terminal, but closing the terminal will kill the application.
In GNOME you can get a window that you type the command in that closes automatically without killing the application by pressing Alt+F2. This is convenient when you don't want to have a terminal window hanging around just to keep the application running. But you won't be able to see the program's command-line output.
You also said if the shell has a run command, the shell practically is the run command!