Recent Service Pack downloads (Exchange 5.5 or 2000, etc.) involve quite a few executable files. Microsoft recommends starting a command prompt and entering the name of each downloaded excutable.
An easier way is to open both a command prompt and Windows Explorer. Navigate to the download directory in Windows Explorer, then highlight and drag the file to the command prompt screen.
Voila! It's there and you simply have to hit the enter key to start unzipping the executable. No misspelling, no fumbling to chdir all the way to wherever your download folder is.
Powertoy also gives you a "Command Prompt Here" utility. You navigate to the same download directory, and then on the directory name, right click and click on "Command Prompt Here" to start a command prompt right on that directory. But you'll still need to enter the name of the executable. To use this feature, download and install Powertoys from Microsoft.