How do I do comments at a Windows command prompt?

REM is the standard way:

REM this is a comment

You could also use the double-colon convention commonly seen in batch files:

:: another comment

A single colon followed by a string is a label, but a double colon and anything after it are silently ignored. One could argue that this form is more legible than the REM command.

Note that both of these methods only work at the beginning of a line. If you want to append a comment to a command, you can use them with the command concatenation character (&), like this:

dir & REM a comment
dir &:: another one

You prefix your comment with the word REM.

REM This is a comment.

But if you want your comment printed back to you, you should echo it:

echo This is a comment you'll see.