Pretty run was started years ago when Windows knew nothing about searching through start menu. It helps you find shortcuts.
Many times we know we have some program somewhere in the start menu but just takes too much time to locate its icon and run it. Pretty Run helps you with that as it searches start menu, desktop or any other folder for the shortcuts or files that meet your query.
With Vista, Windows got their own search box. But Pretty Run is now much more:
Search Internet Explorer favorites
Search Firefox bookmarks
Search Chrome bookmarks
Search printers and start printer properties
Search Control panel items
Setup internet search engines and you can search internet with selected engine
Remember last items copied to clipboard and bring them back in case you need them
Search mp3 files (not file names but tags)
Run a group of programs with one click
Setup your magic words and start favorite programs really quickly