It’s hugely convenient to be able to pop open a command shell (aka “Command Prompt”) in a given directory from the Windows Explorer. The Registry can be manually edited to add context menu commands and there is a Microsoft Knowledge Base article that describes one such approach but the PowerToys collection includes an “Open Command Window Here” item that’s a little more complete. The PowerToy adds shell commands for directories and drives.
Apparently Vista includes an “Open Command Window Here” command but only on a Shift-Right-Click in the Explorer’s right hand pane.
Incidentally I always need to change the factory defaults for the Command Prompt. I have no great sentiment for monochrome displays and can’t see any sense to using white characters on a black background. I also change the font from ‘Raster’ to ‘Lucida Console’, enable ‘Quick Edit Mode’, increase the command history, increase the height of the screen buffer, and increase the height of the window.