Go to the MS site and get the "Open Command Window Here" powertoy. That way, just right clicking on any folder gives you an "Open Command Window Here" option. If you click it, it opens up a shell with the current directory as whatever folder you right-clicked on. Very useful.
And the reverse. If you want to open a explorer window in a particular folder from within a command prompt, just cd to that folder and type "start ." (that's "start" followed by a period).
And finally, on Windows XP, cmd.exe has a neat autocomplete feature. Say you want to cd to C:\Program Files\Microsoft Office\. Instead of typing the whole thing, you can simply (assuming you're on C:), cd \pro[TAB]\mic[a few TABs until you see Microsoft Office] enter. For those who've ever used an IRC client, it works much like the nick completion in mIRC and XChat.
Cheers,
cgkanchi
