For Windows XP there is also a (free) Microsoft PowerToy Called "Open Command Window Here" which allows you to right click on any directory in Explorer and open a console window in that directory.
That still requires me to leave the build environment and already have the target directory open. Instead of being a quick-clickable button accessible from within the IDE, that automatically can determine the binary location based on project settings. Really looking for a one-step solution =-)
As a side note, the functionality you mention is built into Vista by default with no special tools required. I think this is the first nice thing i have EVER noticed about vista. Actually make that 2nd, with the mingw installation of C::B being vista friendly it has 2 nice things about it.