Yes, sorry, Start-->Run Command. Which distro are you using? If you right click on a KDE desktop, the first pulldown itme is 'Create New...' then select 'Link to Application'. If you installed Mandrake/Suse, then it should be there (KDE) is the default. If Redhat, then the default is GNOME, but the item to select should be similar.
See if a menu item got added somewhere in internet, or Extra's-->Internet, etc as Peteatwork (who should be WORKING