Setting up a local server - failure.

[Tatuguy]

I have attempted to set up a local server via Devlors step by step setup. I have no trouble understanding most of the instructions save one.
--Open command prompt in the C:\MySQL\bin directory & type mysql.exe -f.

So I need to know- exactly how do you open a "command prompt" in a folder? I have never done that before. Help in windows or on the internet offer no solutions to this dilema.

[Merth]

For NT kernels (nt, 2000, xp, 2003):

Start Menu -> Run -> cmd

c:
cd C:\MySQL\bin
mysql.exe -f