Mark Cramer adds in the comments (July 2014):
With GitHub for Windows 2.0 the drop-down menu has changed slightly.
Select the repository you wish to work with (on the left) and then from then "Open in Git Shell
" from the drop-down and you'll get a window that will enable you to enter command line commands.
Original answer (April 2013):
Actually, you don't need to download a separate msysgit if you are using GitHub for Windows: it does come with its own msysgit installation within GitHub for Windows (a Portable_Git, as I mentioned here).
You can simply launch a command prompt (Powershell) session, which will use that git.exe from the internal nested "PortableGit":
In there, you can type any git command you want.