How do I comment on the Windows command line?

A comment is produced using the REM command which is short for "Remark".

REM Comment here...

The command you're looking for is rem, short for "remark".

There is also a shorthand version :: that some people use, and this sort of looks like # if you squint a bit and look at it sideways. I originally preferred that variant since I'm a bash-aholic and I'm still trying to forget the painful days of BASIC :-)

Unfortunately, there are situations where :: stuffs up the command line processor (such as within complex if or for statements) so I generally use rem nowadays. In any case, it's a hack, suborning the label infrastructure to make it look like a comment when it really isn't. For example, try replacing rem with :: in the following example and see how it works out:

if 1==1 (
    rem comment line 1
    echo 1 equals 1
    rem comment line 2
)

You should also keep in mind that rem is a command, so you can't just bang it at the end of a line like the # in bash. It has to go where a command would go. For example, the first line below outputs all hello rem a comment but the second outputs the single word hello:

echo hello rem a comment.
echo hello& rem a comment.

The second is two separate commands separated by &, and with no spaces before the & because echo will output those as well. That's not necessarily important for screen output but, if you're redirecting to a file, it may:

echo hello >file          - includes the space.
echo hello>file           - no space.