Q. How do I get a "Command Prompt Here" context menu option in Windows Vista?
A. In Windows XP and earlier versions, a registry change or download of a Powertoy enabled a "Command Prompt Here" context menu option for folders. The option opened a command prompt window at the selected folder. In Vista, the Command Prompt Here feature is part of the OS and is displayed in the context menu by holding down Shift when you right-click the mouse.
—John Savill