Vista gives you a great shortcut in the taskbar that allows you to quickly enter URLs as well as the names of programs you want to run (through the Start > Run launcher). To get this, right click on the taskbar and select "Toolbars" -> "Address". Once you do this, you'll get an address bar in the taskbar. If you enter a URL, it'll launch your default browser with that URL shown. If you enter a program name (like "regedit"), it'll run that program as if it was entered by going to Start -> Run.

If you right-click on the task bar and you can't make this change, you taskbar is probably locked. When you right click, choose the "Unlock the Taskbar" option and then try again. You can then lock it again once you are done.