If you are running Windows XP and want a cmd prompt with no strange environment variables set, do the following: CTRL+SHIFT+ESC->File->CTRL+New Task (Run...)
This will open a cmd window with only the basics. This is useful if you have killed Explorer and need to restart it. Explorer will keep the environment of the cmd window that started it.
If you want to cleanly shutdown Explorer without having it automatically restart: Start->Shutdown->CTRL+ALT+SHIFT+Cancel.