Now that Microsoft allows you to download the Consolas font the question becomes how to add it to the list of choices for the command prompt properties.

In the Microsoft Knowledge Base article 247815 you can find instructions on how to add a font.

Basically on most default Windows XP installations it boils down to adding a String name '00' to the HKLMSoftwareMicrosoftWindows NTCurrentVersionConsoleTrueTypeFont with a value of 'Consolas' (the corresponding name from HKLMSoftwareMicrosoftWindows NTCurrentVersionFonts).