Initial Directory after running CMD?

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Some times when I run CMD from Start->Run the command prompt pops up
with the directory path that I was just working with in the file
browser (I don't know what to call it, its not windows explorer, maybe
its just IE running against the local file structure).

So lets say that I did Start Run "C:". Then I would get the window
showing all my files at my C root. Then if I run CMD, sometimes it
will come up with C:\> rather than defaulting to my desktop.

Does anyone know how this is triggered? I would really be nice if I
could get this work all the time.

.

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