The part of the answer that nobody else has explained is that Windows keeps track of
(up to) 26 different current directories for each process (one for each drive),
so, when you type
C:\> cd E:\Program Files\wkhtmltopdf
you are changing your E: working directory to \Program Files\wkhtmltopdf
-- but (as the other answers have explained),
you’re not changing your current drive to E:, so you don’t see the change in working directory.
(%CD%
shows only the current directory on the current drive;
it doesn’t show the other 25 current directories.)
So, you could type
C:\> cd E:\Program Files\wkhtmltopdf
and then
C:\> E:
and you would find yourself in E:\Program Files\wkhtmltopdf
.
But that’s messy and confusing; use one of the techniques in the other answers.