Windows provides this feature natively, since Vista or 7 (I don't remember which): when you shift right-click in an explorer window, the option 'Open command window here' appears.
I'm not seeing that on this fairly fresh Windows 7 "Pro" install.
I have added the feature to numerous Vista and XP machines, it is easy enough to add manually though there are many utils that will do it for you, but I can't say I've never seen it present by default.
I had 2 people check for me, one with 7 Home Premium, one with 7 Ultimate, in addition to my own 7 Ultimate; all had the feature I described; none had added it manually.
