Shift-click works only on folders and answers the original question. However you can have the same effect even on files in all versions of Windows (NT,2000,XP and later). I've used this solution on folders and files in explorer. More importantly, it even works inside of File Selection dialogs; anywhere a windows file context menu can come up. It also does not require a registry change.
In your "SendTo" folder you can either make a batch file called "LaunchCMDAtThisFileOrFolder.Bat". The location of "SendTo" is different by Windows version. See this for XP and this for Vista & 7, 8 or this. If you like code then this might be interesting
The batch file will have the following code.
Now you can right-click any file and "Send To" -> "LaunchCMDAtThisFileOrFolder".
Here's an example of a Standard Windows Dialog where you can use this. Note, the context menu is on a file, not a folder as it works on both.
Here's an example of a Non Standard Windows File Listing where this can be used.
How the batch file works..
Reference Windows command line help, specifically the FOR command http://www.robvanderwoude.com/allhelpw2ksp4_en.php#FOR
%~d1 translates to drive letter of the first parameter to the batch file.
CD %~dp1 translates to CD "path of the first parameter".
CMD /K runs the CMD.exe. The /K parameter is needed inside a batch file specifically, otherwise CMD.exe will automatically close.
PS: I +1'd MDT Guy's answer because I learnt a new shortcut.