To use the AutoRun Value Name to open the CMD window at a specified folder, like C:, set this string (REG_SZ) data type to:
CD /D C:\
NOTE: This setting will become effective immediately if configured at HKEY_CURRENT_USER\Software\Microsoft\Command Processor.
NOTE: If you configure the AutoRun Value Name at HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Command Processor only, a restart is required.
NOTE: If you require a more complex setting, that makes use of environment variables, and/or requires multiple commands, set the AutoRun Value Name to the full path of a batch file that contains the commands.