|New -> Command Prompt (here)|
This is an explorer option available under the "New" menu for a folder. This is not available for WIN95-ME.
Windows doesn't fully support UNC directories, if the path is UNC the windows error is detected an a "PUSHD" command is performed (which allocates a drive letter), in that case you should use the "exit" command to close the window otherwise network drive letters will "leak" and require manual disconnection.
Right click on any part of an open folder (but not on a filename) and the "New" choice should be visible, choose the command prompt item as shown below: