This might be what you want:

cmd /K "cd C:\Windows\"

If you have Vista or Server 2008, right-click on the directory icon in Explorer while holding the Shift key, and then click the "Open Command Window Here" context menu option. For XP, use the PowerToy mentioned by dF to get the same function.

The XP powertoy is a good option, but I thought I'd post another, in case you'd like to "roll your own". Create a text file, name it anything.reg, paste in the code below, save it, then double-click on it to add it to the registry (or just add the info to the registry manually if you understand what's going on in this .reg file).

Windows Registry Editor Version 5.00

[HKEY_CLASSES_ROOT\Folder\shell\Command_Prompt_Here...]
@="Command Prompt Here..."

[HKEY_CLASSES_ROOT\Folder\shell\Command_Prompt_Here...\command]
@="cmd.exe \"%1\""

Use the /K switch. For example

cmd /K "cd /d c:\WINDOWS\"

Will create a cmd window at the C:\Windows directory

Create a shortcut and edit the "Start In" property of the shortcut to the directory you want the cmd.exe to start in.

Right click the desktop and navigate to new and then from the sub-menu select "shortcut">>Browse to the windows directory (or folder) and then to the system32 directory and click ok. add a \ and "cmd.exe" (without the qoutes) to the command string. Should look like this...C:\WINDOWS\System32\cmd.exe. Click next and finish. Right click the new CMD icon on your desktop and select properties, and next to the Start In options delete the line and add the path to where ever the directory is that you want it to start in...I.E., c:\temp\mp3 and click ok.

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