The Windows SDK command shell, setenv.cmd, is immensely useful, so much so that I wanted it as my default command prompt (i.e. when CMD is run, no matter by whom). A quick Google search didn't turn out anything, so I eventually figured it out myself. The trick is to add it to the command processor's AutoRun value in the registry (run cmd /? from the command prompt if you don't know what I'm talking about):
reg add "HKCU\Software\Microsoft\Command Processor" /v AutoRun /f /t REG_EXPAND_SZ /d "\"%programfiles%\Microsoft SDKs\Windows\v6.0\Bin\SetEnv.Cmd\" /debug /x86 /vista"
You'll notice that I explicitly set the arguments for setenv.cmd; I can't explain it (nor bothered to delve into the script), but without these arguments the script gets stuck along with the command prompt. You should obviously change the values to your own environment.