Actually, on Windows it's the "Command Prompt" (not "Run...", though you can start the Command Prompt by typing "cmd" into "Run..."). (I'm assuming you are on Windows)
EDIT: after researching I found out what you meant by shell, You meant using the run feature. But the rest of the steps are still unknown to me
If you're on Windows, just use the CMake GUI (run CMakeSetup.exe, which should be in your Start menu). Here's a nifty tutorial on running CMake. Using CMake through the GUI is easiest. If you have specific questions from that link I just posted, feel free to ask.