Very simple solution, if you have a shortcut for it then just right click it and go to properties. By default it starts in %HOMEDRIVE%%HOMEPATH%, but you can change the 'Start in' section to whatever you want.
for my %HOMEDRIVE%%HOMEPATH% translates to :
C:\Documents and Settings\Firestarter
You can also get Powertoys for XP which has a nice little 'open command prompt here' shell addon. Basically if you right click any drive / folder in explorer, it gives you the option of opening a command prompt in that directory. Very useful.