For a long time I have been using the ContextConsole (http://code.kliu.org/cmdopen/) explorer extension to add a “Open Command Prompt” to the right-click menu of the Windows file manager (Explorer). After searching around recently I discovered that Windows actually has this function built in. All you need to do is hold down the “Shift” key while right-clicking. The context menu will pop up with an added option called “Open command prompt here”. Alternatively you can enter “cmd” into the location bar and press “Enter”. A command prompt will open up with the current folder.
An article with more documentation on this subject can be found here: http://support.microsoft.com/kb/126449. At the time of writing this I have only tested it on Windows 7.