Use cmd when "Run only specified Windows applications" policy is in effect
You can't open cmd from Windows Explorer, but you should be able to start Task Manager by pressing Ctrl-Alt-Delete, or by pressing Ctrl-Shift-Esc.
Then, from the Task Manager, you should be able to start cmd.exe from the File menu.
Why? Because this restriction is processed by Windows Explorer. Starting the task manager with the keyboard shortcut or from the Ctrl-Alt-Delete menu asks WinLogon (running as System) to start the task manager for you, bypassing this restriction.