This can be done in two ways manually or by using the registry key.

1. Manually: In this follow these steps:
a) Go to the windows xp run prompt (winkey + r).
b) Type regedit.
c) Expand the key [HKEY_CLASSES_ROOT\Folder\shell].
d) Right click and choose new key and then enter command_prompt_here as its name.
e) Right click the command_prompt_here key and choose new key and enter command
as its name.
f) Right click the command key and choose new string value.
g) Type cmd.exe /k \"cd %1\"" and exit you should now have a menu containing it.

2. By using the registry key.
a) Download this key or alternate link and extract and double click on it, It will then be
inserted automatically into the the winxp registry.