Sometimes, your path when you go to start->run, CMD will be something you don’t want. In active directory or on an NT domain, sometimes your default home path might be a network drive. This isn’t so good when you are offline or drop offline after being online. The CMD prompt is set to a place where you can’t get to.
To change the path, you can edit the registry (at your own risk)
Windows Registry Editor Version 5.00
This will change the path to your c:\ drive.