Lets Start.

Here you have to create shortcut of your application.

Right click on desktop click on new then click on shortcut
Then you will see one window.
Here you have to paste full path of your application file (it should be .exe file or .lnk file ro may be other shortcut). You can also browse that file by the browse button.

Here i am creating shortcut of DOSBox-0.74
You can paste your application path which you want to run using Run command.
after selecting path click on next button,

Now This is important to set run command.
Here you have to type command name which you want to set.
Remember you can open your application using this command in run.
Here i am setting my command name with "dosbox" So i am able to open it using this command name in run.
after typing name of command click on finish.

Finally you done all thing,
You will see one shortcut on desktop
Cut it and paste it at the following path
                  C:\Windows
Thats Done.
Now open tun and type your command name, you can browse your application.
Thanks for reading.