Used to be that doing "start->run->cmd" would give you a more-or-less "permanent" command prompt. Dunno if it still works. Another alternative would be to right-click on Nasm, "properties->advanced" and somewhere in there there's way - involves a question mark as I recall - to get 'doze to pop up an edit box where you can enter a command line to Nasm. Nasm is command line driven - before your "DOS screen" disappears, it's telling you "no input file specified". You probably want to work from a command prompt, since after running Nasm you're probably going to want to run a linker...
Best,
Frank