Holy cow, I wrote a book!
Commenter Adam S
holding the Ctrl key when selecting New Task from Task Manager
will open a command prompt.
It's a rogue feature.
Windows XP introduced visual styles,
and one of the tricky parts of debugging visual styles
is that if the visual style engine goes berzerk,
you can't see anything!
One of the problems that the visual styles folks encountered
when developing their feature was that sometimes they would
get into a state where the Run dialog would stop working.
And without a Run dialog, you couldn't install or launch a debugger
to begin investigating what went wrong.
Add the rogue feature where holding the Ctrl key
when selecting New Task from Task Manager
opened a command prompt directly,
without involving the Run dialog.
From that command prompt, you can then install the debugger
and start debugging.
(This technique also took advantage of the fact that
console windows were not themed in Windows XP.
If the visual style system got all messed up,
at least your console windows worked!)
Over time, the bugs in the visual style system got worked out,
and this rogue escape hatch was no longer needed,
but for whatever reason, it never got removed.