We have all tried it. Having to write what seems to be thousands of "cd" commands to start a single executable deep down several folders.
In Windows XP you could install a PowerToy which added a right-click context menu item, which allowed to open a CMD in the current folder.
The very same thing exists in Windows Vista - it is just hidden.

To make it appear simply press [shift] while right-clicking in the folder. A new menu entry will appear: Open Command Window Here.

If you do this while right clicking on a file, Copy as Path will also appear. This will copy the path including the filename to the clipboard.