| If you have a Windows keyboard (identified by the little Microsoft key next to your Alt keys), the quickest way is to open the Run dialog by hitting "R" while holding down the Windows key. Just tap it--if you hold it down too long, it will open the Start Menu instead.
If you don't have a Windows keyboard, you can open the Run dialog by opening the Start Menu (keyboard shortcut: Ctrl-Esc), and clicking on Run... (or hitting R on the keyboard, if you don't have any other Start Menu items that start with "R")
Once you have the dialog open, enter cmd if you're running Windows XP, 2000, or NT, and command if Windows 95 or 98.
Type exit to close the command window when you're done.
P.S. While you're in the command window, you can open a window showing the contents of your current directory by running start . (that's "start(space)(period)") | 
