Are you saying that you can't find the item in the Start Menu to open the window, or that you clicked on the Start Menu item and yet the window didn't appear?
For the former, you can follow Jonmor's instructions, or you can type "cmd" into the Start -> Search box.
If none of this works, what version of Windows are you running? (yes, this is the Windows 7 forum, but it never hurts to double-check...)