1. Go to the Registry editor:

Win+R -> "regedit"

2. Go to the following branch:

HKEY_CURRENT_USER\Software\Microsoft\Command Processor

3. Find the key or create a new one (as a String key) with this name:

Autorun

4. Change its value to a string with this format:

cd /d [path]

where the [path] is a folder path

5. The changes should apply the next time you open the Command Line window (cmd.exe).