Whoa, let's get some facts straight: (note: assume Windows NT, 2K, XP or 2003 for all)
1. If
>>1 asked for a shell, which I doubt, the answer is Windows comes with CMD.EXE, which is a half decent shell with a half assed batch scripting language even uglier than Bash. Then you can install other shells, like 4NT, Bash, ZSH, etc. There are both native ports and Cygwin ports of all popular Unix shells. BTW, to enable command completion in CMD.EXE with Tab, in the registry go HKLM\Software\Microsoft\Command Processor and set CompletionChar and PathCompletionChar to 9. Do the same for the HKCU counterpart (HKCU\Software\Microsoft\Command Processor).
2. If
>>1 wants a terminal, he/she should use PuTTY.
3. If
>>1 wants a command window replacement, which is what I think he asked for, then there are a couple of them, and I recommend Console, whose last version is 1.5 IIRC, and you can find in SourceForge (executable, don't worry). You may want to set it up (lower refresh time, change fonts, etc.) and to enable antialiasing you have to enable it in the configuration file then right-click the title bar and click Reload settings I think. Console will allow you more customization of background, transparency, cursor, scrollbar, etc., and it'll use any TrueType font (preferrably fixed-width) with or without antialiasing.
4. If
>>1 just wants to change fonts, there are many bitmap fonts available (Google for NewDOS, maybe), and some TrueType fonts that can be used, some of which come with Windows. Here's a few I can remember (besides Lucida Console): Andale Mono, Courier New, Arial Monospaced, Consolas (the one from Windows Vista), DejaVu Sans Mono (free font), Anonymous (lol, real font). Most of them suck though because standard console windows don't do antialiasing and these fonts, although monospaced, usually have crappy metrics, or no line drawing character (Consolas... you really fucked up there Microsoft). To be able to choose them in the console's font options, you have to edit your registry. Go HKLM\Software\Microsoft\Windows NT\CurrentVersion\Console\TrueTypeFont and add your fonts as new string keys, but beware: just becuase there's a 0 there don't name them 1, 2, 3... name them 00, 000, 0000, and so on. Use fixed-width TrueType fonts only, and then load a console and go to fonts to see if everything works, otherwise remove the ones that don't.
5. There are some guys in SourceForge working on a lower-level (kernel hooks) replacement for the Windows NT console interface that will allow for better console windows and better customization. So far the best you can do is to use Console and FAR Manager and/or CMD and/or Bash for a shell (yes, you can combine all of them).
6.
>>13 mentioned something strange about associations. You can associate any file extension to anything in Windows, use FTYPE and ASSOC or edit the registry by hand (HKCR, look at existing extensions and file types, extensions like .jpg get associated to file types like Image which in turn get methods like open or print and a default method which is run on double clicking). You can also simulate double clicking with the START command, and FAR Manager does it for you automatically. You can also define which extensions you don't need to type to run; ever noticed you don't have to type "calc.exe", as "calc" will work? Extensions are looked up in a similar way to paths. Look for the PATHEXT environment variable for a list of the extensions to autorun and in which order (priority). You can do that in SYSDM.CPL (Advanced tab) or by just editing the registry. Then restart your shell. Feel free to remove VBS and JS from PATHEXT for security reasons.
See, Windows hackers do exist ^_^.