How to reduce the pain of the command prompt

If you intend to use the command prompt only under Windows, you could use Windows PowerShell, as it is easier to use than the initial command prompt, and copies some behavior from the *nix-like terminals. (It provides also a lot more functionalities, but at first, at least to me, it's an "easier command shell").

Edit: Changed picture for a more "friendly" one.

You can use the Tab key to auto-complete file names. Although keep in mind you must first type enough of the file name to uniquely identify it or else you will have to shuffle through incorrect matches. For example, you have a folder with these files and it is your current directory that you're sitting in with cmd:

.
..
Su.exe
Sup.txt
SuperUser.COM

if you wanted to auto-complete SuperUser.COM, you would have to type supe then press Tab, since none of the other files start with those 4 characters. Note that if you had typed su and then pressed Tab, you could press Tab twice more to reach SuperUser.COM or you could type ShiftTab to go backwards through the list and get there.

Another trick is if you have the file in an explorer window, you can drag it into the cmd window and it will type the name out for you.