Install TweakUI, enable tab completion

No Windows XP user should be without TweakUI. Amongst its bundle of tweaks, it can set the autocomplete function properly for Command Prompt — meaning that you only have to type the first letter of the file or directory you want, then hit TAB and Command Prompt will fill in the rest. If it brings up the wrong answer, simply hit TAB again to cycle to the next, or press SHIFT + TAB to go backwards if you've gone too far.

1. Download TweakUI and install it
2. Run the program, then go to the Command Prompt section and set Filename completion and Directory completion to TAB, then click OK