Windows XP's cmd.exe was not one of my favorite consoles, it lacked configurability, especially in the font area. You have only two options when it comes fonts: raster fonts and "Lucida Console".
I grew accustomed with "DejaVu Sans Mono" font from my Linux days and since then when I think about a monospaced font I think of "DejaVu Sans Mono".
One option is to use an alternative console, but I found out that it's not as fast as cmd.exe.
The solution is to replace "Lucida Console" with "DejaVu Sans Mono"! Just fire you your favourite font editor and do the required changes, then install the new "Lucida Console" and that's it.
Here is a screenshot with my pimped cmd.exe
In the meantime I've found an easier way of changing the console font, read more about it here