How to "undo" in command prompt?

If I have done some major change, for example renamed some files etc, how can I roll back the change?

Is there a command that does this?

there is such thing as "shadow copy" available in some versions of windows:

http://en.wikipedia.org/wiki/Shadow_Copy

Shadow Copy (Volume Snapshot Service or Volume Shadow copy Service or VSS ), 
is a technology included in Microsoft Windows that allows taking manual or 
automatic backup copies or snapshots of data...

by enabling that service you can go back in time (to a certain degree). other than that: no chance of undo, just as Jawa answered.

No, there is no such built-in operation as undo for the command line.

However, you can browse the past commands with up & down arrows and if the command is non-destructive (copy, move, rename, ...) you can reverse the effect of it manually (by removing the copied file, moving the file back to original location or swapping the file parameters with rename).