I use Born to Run.
http://members.tripod.com/~leeos/index-13.html
I believe it's a no-install.
Here's how I use it:
For an example, let's take the program TotalUnintall. I create a
shortcut to this program called "tun" (without the quotes). The
shortcut can be created on the desktop or anywhere else.
Using the SendTo menu, I sent that shortcut to the Windows folder*
Using BornToRun, which is on my launchbar, I type in "tun" (without
the quotes), and the application comes up.
I've tried programs that make this automated, but it ends up being
more complex. So this is a very simple and easy approach, and you can
add an unlimited number of 'aliases'.
* Keeping shortcuts to programs in the Windows folder is a little
documented feature of Windows. It works for Win9X...I haven't tried
it with any other version. It probably works with the standard Run
dialog as well, but I like having a standalone Run utility that I can
keep on my launchbar...just click and go.