Under WinXP, the command is "set localecho".
Under Win2000, the command is "set local_echo".

I don't know why they changed it. This must be entered from the telnet prompt.

If you're unsure, "set ?" should give you a list of set commands and therefore the answer to your question. It'll give you a whole bunch of other useful commands to, as will "?" at the telnet prompt.