Sounds as if you're having trouble navigating the command prompt. Here are some detailed steps after you've launched the command prompt via cmd:
First, you'll need to change directory to the webroot. The command for that will be:
cd stands for change directory, and you're basically doing the same thing you would be doing in Explorer by clicking on My Computer, then C:, then xampp, then htdocs, etc. In fact, you could see a similar process if you ran the follow series of commands, and this is often necessary since you need to list directory contents as you go:
Your prompt should then look something like:
From there, you'll want to run the command:
yiic webapp c:\xampp\htdocs\[path_to_where_you_want_the_app]\testdrive
You could also use a relative path instead of the absolute path I provided.
In general, it sounds as if you'll need to brush up a bit on your command line skills, or you'll be encountering issues like this frequently.