Hmm, what's running in your command prompt?
cmd.exe is the Windows XP/2K/NT command prompt (80x25 dos-style prompt for executing commands). You can see it by going to the start menu, run and typing: cmd
If you're not running a command, then this could easily be the sign of a virus or spyware going amuck by launching an invisible command prompt doing it's bidding. I'd highly recommend getting AVG and Windows Defender from Microsoft and running full scan for viruses and spyware if you have cmd.exe's running with no open command prompts.