Ansi.sys (in the system32 folder) is an "MSDOS driver" provided as part of Windows XP, 2000, and earlier versions of NT. In 2000 and XP, it is located in the system32 folder (I don't remember the structure of earlier versions of NT). Programs that run in the DOS subsystem and use standard output can use ANSI.SYS just as they could running over MSDOS.
To load ansi.sys, you must use the device= or devicehigh= command in config, just as you would in MSDOS. On Windows NT 5 (2K & XP), each copy of the DOS subsystem can be given a separate config file in the pif/shortcut (use the "advanced" button), and there is a default file called CONFIG.NT (also in the system32 folder), which is used if the pif/shortcut does not specify a special config file.
When ansi.sys is loaded correctly, mem /d will report that it is loaded. On earlier versions of NT, you can and must load a proper DOS environment to load ansi.sys, and ansi art will work at the prompt. On Win 2K and XP, loading ansi.sys will have no effect on your "CMD prompt" because CMD is not a DOS program: it is a 32 bit Windows console program. For some reason that I do not understand, on WinXP, even if you load a fixed copy of command.com using "command.com /p", the command prompt will not be ansi enabled: perhaps when you do it that way it only emulates loading command.com?
In any case, when you use an actual DOS version of command.com, ansi is enabled after being loaded: you can demonstrate it's use with a bit of ansi art like this:
command /c type ansiart.ans
(here is an example: http://artscene.textfiles.com/ansi/artwork/beastie.ans)
CONFIG.NT (in the system32 folder) contains an example of the syntax for loading device drivers. You will need to be an Administrator to edit that default file, or you can make a copy of it.
On Win 2K and XP, the default "shortcut" for MSDOS is a .PIF file, not a .LNK file. If you create a .lnk file to CMD, you won't be able to set special config and autoexec files, it will use the default CONFIG.NT. If you want to use a special config file for just one DOS application, you can make a copy of the "MSDOS shortcut", or you can make a copy of "_default.pif", found in your Windows folder.