There's a great power-toy for adding "Command Prompt" to the Windows Explorer context menu in XP here (or search for XP Power Toys). In Vista and Server 2008, you just hold shift when you right click to get it -- built in. But what if you're on Windows Server 2003 or another version? Well, the technique to add it is just a simple registry change:
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Folder\shell\Command_Prompt]
@="Command Prompt"
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Folder\shell\Command_Prompt\command]
@="cmd.exe /k pushd \"%1\""
Copy the above into a reg file (such as "Command Prompt Here.reg" -- no quotes) or similar, double-click to merge...