Windows Mobile Development Blog shows us a nice tip to access the Run Dialog Box in Windows Mobile Pocket or Smartphone similiar to the desktop version of Windows.
On the main Today screen of a Windows Mobile device, tap and hold down the ‘Action’ key while tapping and holding the stylus on the clock shown on the navigation bar. The ‘Action’ key is usually the center of the D-Pad or Ctrl if you are using the emulator. When you release the ‘Action’ key a small popup menu will appear, and you can select the ‘Run’ option. From there you can open shortcuts to any program from the System folder of the mobile device such as iexplore.exe or calc.exe.

You can even open shortcuts to open Control Panel applets (.cpl). You have to run ctlpnl.exe program with “cplmain.cpl,X,Y” argument where X is Id of the control panel applet and Y is an index of a tab page, an example being ctlpnl.exe cplmain.cpl,4,0. which will open the Memory, Main tab in the Control Panel.

Opening the same on a Smartphone is slightly difficult as you will need to enable the clock to be displayed in the title bar for all applications, not only the Today screen and then access the Run dialog box.