A very popular registry hack for Windows XP was the "Command Prompt Here" hack, that would automatically open a command prompt window in the directory that you had clicked on.

Windows Vista includes this ability right out of the box, it's just not immediately obvious, because it's hidden behind a shortcut key.

To activate this, just hold down the Shift key when you right-click on a folder, and you should see the Open Command Window Here menu item:

Just like that, a command window opens with that path as the working directory