I have set Courier New as the font in the command prompt. When I selected the font with size 12, it works, but the font size is very tiny. When I change the size to 14, it won't work; it is set back to the default raster font.
I duplicated your problem, and found that it does work with size 16.
However, I afterward had some error messages which seem to suggest that the support in XP for the Courier New font in Command Prompt is somewhat buggy. I had no such problems on Vista.