There was an
XP Powertoy for this that worked in XP/2000/2003 that did the same thing without manually changing your registry (also included an uninstall option which automagically changed it back).
Could not believe it does not enter things into the registry so I installed the powertoy.
Two registry entries were added.
HKEY_CLASSES_ROOT\Directory\shell\cmd\command
value=cmd.exe /k "cd %L"
HKEY_CLASSES_ROOT\Drive\shell\cmd\command
value=cmd.exe /k "cd %L"
I then uninstalled the powertoy and the registry entries were taken out with the uninstall.
So it seems the powertoy does add registry entries after all.