urxvtc -e sh -c 'echo a'
    xterm -e echo a

I would like to, and in fact I've already tried, but urxvt is trickier than other shells. Using the command you gave me does not create a new window, tested both on XMonad and Gnome. This is
the error you can see using the option "-hold", this way:

 urxvt --hold -e "echo a"

This opens a new window with the error: urxvt: Unable to exec child.