There are two kinds of commands in MS-DOS. The Internal command, which is a command which is fixed into the command.com file, and the other one is external command, which is not fixed into command.com and accordingly requires a part of file to be used. For example, if your computer does not have fdisk.exe and you try using the fdisk command, you would receive an error "Bad command or file name." Fdisk is an outside command that will only work if fdisk.exe, or in some cases, fdisk.com, is there.
Though, as long as MS-DOS is running on your computer interior commands such as the cd command will always be accessible and does not need any other files to run.