Somehow, this useful feature went away in Windows Vista and Windows Server 2008, but has come back in Windows 7.
A possible workaround is using Send To Toys,
which adds the "Send To Command Prompt" . It opens a CMD window, setting the current directory to the selected folder. If the selection was a file, the folder containing the file will be the active directory and the name of the file will be typed for you at the prompt. Hold down the CTRL key to change the active directory to a different folder. Hold down the SHIFT key to force the use of the COMMAND.COM regardless of the Windows version.
The only other solution is to hold shift when right-clicking on a file, which gets you the "Copy as path" option, which you can then paste into the command prompt.
I found DropCommand which enables you to drag files easily into your Vista command prompt screen. I haven't tested it though.