http://windowsxp.mvps.org/noclose.htm and
Run Command Missing Right click the Start button and select Properties, then Customize. Scroll down and put the check mark in the Show Run entry. If you're using the new Start panel, its on the Advanced tab.
Or check your settings here: Start/Run/Regedit
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\ Policies\Explorer
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion \Policies\Explorer
Value Name: NoRun
Data Type: REG_DWORD (DWORD Value)
Value Data: (0 = disabled, 1 = enabled)
Note: It seems that under "XP Theme", not more than eleven (11) items can be displayed together at the right-hand column (with blue background), which at times, disables/removes the Run Command even with it being checked.