Someone else already said WSL, but before WSL there was Cygwin, and before Cygwin it was probably the DOS era tbh, but you could definitely get pdksh as a DOS executable back then. (I was never quite brave enough to make pdksh the SHELL in CONFIG.SYS, but I could have.)
As for Windows' WM being Explorer, yeah, that's basically been the case since Windows 95. The desktop itself is a special instance of a folder and the taskbar, at least up to Windows 7 (I've been out of touch since then) was a heavily modified partially-floating menu bar.
Prior to that, Windows 3.x had something called Program Manager which Windows 8 kind of, sort of, went back to (but not really) and everyone hated it. The original Program Manager would have been better, honestly.
Makes me wonder if the setting is still there in modern Windows to change the WM to something else. It used to be in WIN.INI, so it's probably a registry key now. No doubt deep instability will result if it's set to anything other than explorer.exe because of the deep integration that explorer.exe has with literally everything, so probably not worth trying. Also, if you start Explorer when it isn't the WM, it'll probably try to do WM things anyway and break whatever else is running.