Something similar happened to me.
I just replaced my CRT with a LCD and added the shortcut stuff (+szx 1280 +szy 1024) but instead of running the screen goes black then crashes back to desktop. :confused:
edit: This is the error I get when I try to run it in a window.
edit 2...
AFAIK the only way is if you install X-Setup Pro it has an option to add a small green arrow under the run icon. You can make this point towards an exe or whatever else (I have it linked to a .txt). HTH.