There are several methods how to launch an external .EXE application from the AutoCAD environment.
The easiest way (similarly also in AutoCAD LT) is the function (startapp) - you can e.g. run NotePad by entering (startapp "notepad.exe").
Another method are the commands SH, SHELL and START, which can be used to invoke and external OS command or program.
Another often used method is adding the requested .EXE application to the ACAD.PGP file - creating an command (program) alias. See the PBRUSH command alias definiton as a sample.
AutoCAD offers many other ways to start a program - e.g. the Shell function in VBA, ARX programming environment, MTEXTED setting, etc.