Barry Fitzgerald from Gumdrop books (a NAV 2009 customer) sent me a hint to another blog post, which in short talks about how to add a menu item to your folder menus like this:
This would open a command prompt, starting in this directory ready to use Visual Studio tools like SN (which you need for Client extensibility) or RegAsm (which you need for COM development).
I found it pretty nice, so I thought I would share this.
On my machine, I have created the following registry key, which seems to work great.
Microsoft Dynamics NAV