runas command is the closest thing to what you're looking for:
runas /user:username cmd.exe
The format is
runas, the username you want to run as, other options, and then the program you want to run.
If you're on a domain, you can use:
runas /user:DOMAIN\USERNAME cmd.exe
This can be run from the
Run box ( Win+R ) or from a command window.
Note, however, that this is not exactly like
sudo - you can't use it to elevate yourself, just run something as a different user. If you're already have administrative rights, a runas to your account will give you the same access as the regular command (unless, of course, you runas a different administrator account, which will grant those administrator's rights to the new shell).