Real quick answer :
Or you can try the run command from the Start Menu. Click on the start button, and then select run. And in the run dialog box, type, for example, winamp. What, nothing happened? Try again. What? Still nothing? Hmm, I wonder why!
Maybe, it could be so because Windows does not support this kind of behavior! What do you exactly mean when you say Winamp? What is this Winamp? Why Winamp? And, more importantly, Where is this Winamp? So, to run Winamp, you have to type something like "C:\Program Files\Winamp\Winamp.exe". You see, Microsoft expects all programs to keep all their files in a neat little folder in "Program Files" on the root drive. What? Keep all the executables in c:\bin and libraries in c:\lib? Bah! Shame on you, you insolent fellow!
So, the point is, even if there is such a "utility" fow Windows, it'll be pretty much useless.
For those who came in late - the "run" box in the "taskbar" on Linux is a kicker and gnome-panel applet. And, it's present on all Linux boxes. Yes, ALL of them. And, you can just enter the program's name and then run it. For example, I entered
audacious and lo and behold! There it was!