Open Command Prompt Here

For vista, Right-click while holding shift key


For WinXP:

1) click on Start -> Run
2) type regedit
3) go to HKEY_CLASSES_ROOT -> Directory -> shell
4) right click 'shell' and select New -> Key
5) name it 'MS DOS prompt' or anything you like
6) right click the key just created and select New -> Key
7) name it 'command'
8) double click 'command' and type 'cmd.exe /K cd %1' in the Data Value field
9) close regedit