As a Windows user, I envy a few things about the Macs around me. One of them is Quicksilver, the mind-reading launcher and shortcutter for OS X. There are a few simple-minded clones for Windows, though none of them come close to its beauty and power.
The best of the bunch that I've tried so far is Launchy. It seems to find the things I want, it remembers what my choices were, and it has plug-ins that allow it to (for example) interpret Firefox keyword shortcuts. I'm using it more and more to run programs, relying less and less on my existing methods (command line, start menu, and Free Launch Bar).