Windows allows you to use commands as shortcuts in the Run prompt (such as calc to launch calculator). I typically use a lot of shortcuts to launch apps or open files I use a lot, but don;t want to drop a lot of shortcuts in any of the standard folders from which Windows allows shortcuts to be used.
Fortunately, you can add additional folders to use for shortcuts. To add a new folder, open the System window (Win+Pause|Break) and click on Advacned system settings< :