[NTG-context] associating setuptex.bat with cmd shortcut

Hi everyone, at the end of the context essentials installation on Windows, it says

When you want to use context, you need to initialize the tree with:

C:\context\tex\setuptex.bat C:\context\tex

You can associate this command with a shortcut to the cmd prompt.

What does that mean, and how do I do that (associating the command with a shortcut to cmd)? Sorry, haven't had to do anything serious on Windows for years... Thanks, Michael