Nowhere in the instructions does it tell you to enter just cd, nor dir. Are you sure you are following the right instructions?
I'm sure the commands you are entering are working: cd on its own will not change directory, so will not output anything, so will give the appearance of doing nothing. dir on its own will print out nothing, if you run it from a directory that is empty.
Please read this page:
http://www.rockbox.org/twiki/bin/view/Main/HowToCompileIf you've already downloaded the source code into a folder that you created, at the least you would need to cd into that directory first. Also the instructions don't say to create a C: Rockbox folder, but you can create this folder anywhere you like. If you got the source code from svn (i.e. the first section on the above page, and read the article UsingSVN if you don't know what that means), then it will download the source into the current directory so, again, if you create a new folder for the purpose of building rockbox, cd into that directory before running the svn command