I don't remember if NT had it, but 2000, 2003, and XP all had a "Run" menu option when you clicked "Start".
Windows 7 no longer has that but instead has an entry field just above/next to the Start button when you click it. That entry field can be used to search and/or run programs.
Many versions (including 2003, XP, and Windows 7) also give you a "Run" prompt if you hold the Windows key and hit the letter R.
To exit a cmd prompt you type exit and hit the enter key.