There has long been a “Command Prompt Here” facility in the Windows Explorer. Originally it was provided via a PowerToy, but it has since become a standard feature. Cygwin has also adopted this, and provides the chere utility to help set up Explorer context menu items:

Try:
chere -in -e "Open Bash Window Here"
The end result is:
I always forget this, so I’ll put it here, where it can help me and perhaps also the rest of the blogosphere.
