You can edit the registry to add the Command Prompt item to the context menu. Here are a couple of .reg files that I use.
Cmdhere.reg - for WinNT/2000/XP/Vista/7:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew]
@="Command Prompt"
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew\Command]
@="cmd.exe /k cd %1"
[HKEY_CLASSES_ROOT\Drive\shell\OpenNew]
@="Command Prompt"
[HKEY_CLASSES_ROOT\Drive\shell\OpenNew\Command]
@="cmd.exe /k cd %1"
Doshere.reg - for Win9x:
REGEDIT4
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew]
@="MS-DOS Prompt"
[HKEY_CLASSES_ROOT\Directory\shell\OpenNew\Command]
@="command.com /k cd %1"
[HKEY_CLASSES_ROOT\Drive\shell\OpenNew]
@="MS-DOS Prompt"
[HKEY_CLASSES_ROOT\Drive\shell\OpenNew\Command]
@="command.com /k cd %1"
Copy this into an empty text file and change the extension to .reg. Double-clicking on this in Windows Explorer will add these key to the registry.