Run dialog box can be reached by pressing start/run or by pressing windowskey+R. All these applications can be reached from somewhere else in windows OS, but it is much easier and faster to do it this way
Many of these commands are only valid for NETWORKING versions of windows (NT, 2000 and XP)
Command prompt is: command
Computer management is: compmgmt.msc
Current version of windows is: winver
Device manager is: devmgmt.msc
DirectX diagnostic tools is: dxdiag
Disk management is: diskmgmt.msc
Disk defrag is: dfrg.msc
Event Viewer is: eventvwr.msc
Group Policies is: gpedit.msc
Local users and groups is: lusrmgr.msc
Performance monitor is: perfmon.msc
Registry Editor is: regedit
Resultant set of policies is: rsop.msc
Shared folders is: fsmgmt.msc
Local security settings is: secpol.msc
System Configuration Utility is: msconfig
System Edit is: sysedit
System Information is: msinfo32
Various Services: services.msc
windows loading information(also system.ini) is: win.ini