You could try the following:

Create a batch file called pingtest.bat with the following lines:

ping %1
pause
exit

Then, from Start, Run enter pingtest xyz.com
That should get the DOS window to pause for you.
I'm not sure if that will really fix your problem, since I don't know if you are wanting the DOS window to stay open for any command or just that one. As I mentioned earlier, a command window or DOS window created from Start, Run will not normally stay open for you to see the results when the command is finished.