Sometimes a shell isn't open but would be required to launch and application.
That's when the tool is very convenient.
Go to Application | Run Application menu item or press Alt + F2.
If Alt + F2 happens not to be working as expected and if all the defaults are untouched to a quite reasonable extent, then if Compiz is being used check the CompizConfig Settings Manager through the go to the System | Preferences menu. On the General Category, mark the Gnome Compatibility checkbox and voilà! it shall work nicely!
Note that this will also fix Alt + F1 which opens the Application menu.
