"Open command window here" is available on the right-click context menu of a folder in Windows Explorer. This command can save you a lot of time getting to folders via Command Prompt. You must hold the Shift key while you right-click the folder to see this action.
This action is available only on folders and not files, and open command prompt is not available on Windows XP. You must use Microsoft PowerToy for Windows XP to add this function to the right-click context menu of the folders.