I can't even find a way to open it from my desktop.
Left mouse click the WLM icon in the Start Menu, hold the button down, and drag the icon onto the desktop.
There isn't even a "run" line.
(1) You can just type RUN into the search bar and the run program should be first on the list
(2) You can customize the Start Menu to add the Run command http://img23.imageshack.us/img23/6601/s016t.th.jpg
In the search bar type START MENU and choose 'Customize the Start Menu' from the Control Panel category