Open Terminal window here - Mac OS X

It isn't as easy as updating registry key in windows (or atleast I don't know). Found this link to be good source for app to do that.

https://sites.google.com/site/michaelsafyan/software-engineering/open-in-terminal
Chose the one with customized terminal window icon.
If the folder Finder doesn't exist in your 'Application Support' directory, then do create it.

If you have any other easy ways of doing this, let me know.