Modify the Registry with a Script
To add the Command Prompt command to the shortcut menu:
Copy the following text to a file named Cmdhere.reg (between the asterisks):
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Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew]
@="Command Prompt"
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew\Command]
@="cmd.exe /k cd %1"
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Save the Cmdhere.reg file.
Double-click the Cmdhere.reg file to automatically add the registry entries.
APPLIES TO
Microsoft Windows Server 2003, Standard Edition (32-bit x86)
Microsoft Windows Server 2003, Enterprise Edition (32-bit x86)
Microsoft Windows Server 2003, Web Edition
Microsoft Windows XP Professional
Microsoft Windows XP Home Edition
Microsoft Windows 2000 Server
Microsoft Windows 2000 Advanced Server
Microsoft Windows 2000 Professional Edition
Source: http://support.microsoft.com/kb/320148