For Windows XP:
In Explorer, open Tools, Folder Options.
- Select the File Types tab.
- Go to NONE / Folder.
- Press Advanced button.
- In the action block type “Command Prompt” without the quotes.
- In the app block type “cmd.exe” without the quotes.
- Save and exit Folder Options.
I used this in my university time but later on I forgot how to activate that. I found an article in the web and put it in my blog so that I don't have to struggle again to recall it.