[Tutor] Running Python from REVO screen???

[WM.]

I asked tutor how to get to the black screen to run Python programs.  I 
got a three step answer but could not get step 1. to work;

1.
XP: Start > Run > type "cmd" > OK

C:\Documents and Settings
The above line is where I wind up & I cannot get out of it.  I can get 
into it with Start > Programs > Accessories > Command Prompt.

The below lines I have not yet gotten to.  What is 'cd'?

2.
then cd to the folder where you put the script:
C:\> cd C:\mypython\
'cd'?

3.
then run the program by typing "python blah.py"
C:\mypython\> python blah.py