I ran into the same issue you did a day or two ago. I realized that the drush command prompt uses most of the same commands that the Windows command line does so I did a quick search along those lines and was able to find the answer.
You need to either type the drive you want to change to (with no other commands and no slash) or you can navigate to the directory but include '/D'. Here are some examples.
P:
cd /D P:\wamp\www
Here is the website if you want more info: http://www.windows-commandline.com/windows-7-command-line-switch-drives/
Hope this helps!