The Windows mkdir does it automatically if command extensions are enabled. They are on just about every box I've ever used but, if they're not, you can create your own script to do it:
@echo off
setlocal enableextensions
md %1
endlocal
Expanding:
Command extensions are an added feature of cmd.exe which allows you to do so much more (at the cost of a little compatibility with earlier incarnations of the batch language).
Windows XP cmd.exe should have these extensions enabled by default but you can configure your box so that they're disabled by default (using "cmd /e:off" as the default processor). If you do that and want to use the extensions, your cmd files must have a setlocal to turn them back on.
The script above could be called md2.cmd and then you would be guaranteed to be able to create multiple directory levels with "md2 a\b\c" without having to worry whether the extensions were enabled.
Almost every one of the cmd scripts I write begins with:
setlocal enableextensions enabledelayedexpansion
to ensure I get as close as possible to the behavior of my beloved bash :-)