Chain arbitrary commands using & like this:
command1 & command2 & command3 & ...
Thus, in your particular case, put this line in a batch file on your desktop:
START cmd.exe /k "cd C:\activiti-5.9\setup & ant demo.start"
You can also use && to chain commands, albeit this will perform error checking and the execution chain will break if one of the commands fails. The behaviour is detailed here.
Edit: Intrigued by @James K's comment "You CAN chain the commands, but they will have no effect", I tested some more and to my surprise discovered, that the program I was starting in my original test - firefox.exe - while not existing in a directory in the PATH environment variable, is actually executable anywhere on my system (which really made me wonder - see bottom of answer for explanation). So in fact executing...
START cmd.exe /k "cd C:\progra~1\mozill~1 && firefox"
...didn't prove the solution was working. So I chose another program (nLite) after making sure that it was not executable anywhere on my system:
START cmd.exe /k "cd C:\progra~1\nlite && nlite"
And that works just as my original answer already suggested. A Windows version is not given in the question, but I'm using Windows XP, btw.
If anybody is interested why firefox.exe, while not being in PATH, is executable anywhere on my system - and very probably on yours as well - this is due to a registry key where applications can be registered to be available everywhere. See this SU answer for details.