Which version of Windows are you using? And are you looking for the "Run" dialogue box or the Command prompt?
This forum is for Windows 95/98/ME. In these versions of Windows, if you wanted to open up a command prompt, you had to open up a "MS-DOS Prompt," which could be found in the Programs menu in the Start menu.
For the last few versions of Windows, the "Run" dialogue box has been accessible via hitting the Windows key + R simultaneously. Whether this will work on any Windows OS's before XP beats me.
This link may also interest you. I just want to remind you to always Google your issues before posting on forums, as this wastes our time as well as yours.