Someone has set group policies on the machine, assuming it's not your work admin and you're not joined to a domain you'll need to check what policies have been set either through gpedit.msc or, as I'm going to guess that's been blocked, via regedit.exe by checking the "Computer\HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\Explorer" key to see if there's a value or key under it called "DisallowRun".
If you want to be thorough, also i can't remember if program restrictions only apply in the user context, you can search the entire registry for "DisallowRun" using something like
NirSoft's RegScanner.