What you want is the equivalent of ShellExecute() that is available in Microsoft C or C++ compilers. The alternative is to create a dos console batch file and then optionally create a shortcut to the batch file in a program folder.
To create shortcuts:
Click on start, right click on all programs. Create a new folder. Double click on the new folder to open it. Right click on folder window and select new, shortcut. Search for your program (the .exe) file. If the program has an icon in it, it will automatically get picked up. If there are parameters, add them after the name of the program when creating the shortcut. Click on next and change the name if you want.
If you didn't get an icon for the shortcut, right click on the shortcut, and click on change icon, and again, fine the .ico file for your program. Windows will start off with the generic set of icons from some .DLL file. You can pick up icons from .DLL files, .EXE files, or .ICO files.
Note that this same process can also be used to create shortcuts to .BAT file to run command scripts. For Windows XP or Vista batch files, prefxing a program path and name with start, such as
start \myfolder\myprogram1.exe
start \myfolder\myprogram2.exe
allows multiple programs or multiple instances of a program to be launched with a single shortcut to a batch file.