an extended stored procedure provided by SQL Server, which launches a Windows command shell to run a specified command. Not for general questions about cmd.exe or batch scripting; not related to Windows XP.
The xp_cmdshell extended stored procedure runs the command string given and returns any output as rows of text. The documentation (for SQL Server 2012) can be found here.
For security reasons, xp_cmdshell is disabled by default in recent versions of SQL Server.