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In Windows if you find a shortcut in start menu, you can see where the program is located by right clicking the shortcut and selecting Properties.

In Ubuntu I start a program called "Monitor settings", but I don't know where it's located, and how to start it from the command line. How can I find this out?

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If it is in the menu. Go to System > Preferences > Main Menu. Select the menu category on the left side, find the program on the right side, select it and hit 'Properties'.
Then if you are looking for the absolute path, once you know the command you can use 'which' to find the path to the program. For example if you type 'which gedit' it will return /usr/bin/gedit

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If you are looking for the program name in order to use it to launch files from the command line, you can use the command xdg-open to launch files (and URLs) using your default associations.

If you want to know where a command that you call by name is located you can use which, such as which mahjongg to find where that binary is located.

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There may be an easier way, but you can get the info you want by dragging and dropping the icon for the program you are concerned with onto the desktop, then right click and select Properties. Under the Basic tab the command required to call the program from a terminal will be listed under Command. You should not need the entire path (if listed), only the actual name of the program. For instance the Mahjongg in Ubuntu can be called simply by typing mahjongg instead of /usr/games/mahjongg, doesn't matter what folder you are in.

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