I always need this whenever I rebuild my system. Here's where I found it this time via Google:
http://www.tech-recipes.com/windows_tips232.html
Steps:
Manual Method:
(This requires editing your registry. If you are not familiar with registry editing, this isn't for you... so skip to the easy method below)
1. Open regedit
2. Navigate to HKEY_LOCAL_MACHINE/Software/Classes/Folder/Shell
3. Create a new key called Command Prompt
4. Your default value should be Command Prompt Here
5. Create a new key called Command under the Command Prompt key
6. Your default value should be cmd.exe /k pushd %L
Also, the Windows XP Power Toy that does it.