What you’re refering to as Windows, is in fact, GNU/Windows, or as I’ve recently taken to calling it, GNU plus Windows. Windows is not an operating system unto itself, but rather another closed component of a fully functioning GNU system made useful by the GNU corelibs, shell utilities and vital system components comprising a full OS as defined by POSIX.
Many computer users run a modified version of the GNU system every day, without realizing it. Through a peculiar turn of events, the version of GNU which is widely used today is often called “Windows”, and many of its users are not aware that it is basically the GNU system, developed by the GNU Project.
There really is a Windows, and these people are using it, but it is just a part of the system they use. Windows is the kernel: the program in the system that allocates the machine’s resources to the other programs that you run. The kernel is an essential part of an operating system, but useless by itself; it can only function in the context of a complete operating system. Windows is normally used in combination with the GNU operating system: the whole system is basically GNU with Windows added, or GNU/Windows. All the so-called “Windows” distributions are really distributions of GNU/Windows.
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.
DOS was ok, but when I found Linux with its cli multiprocessing, &, bg, fg, jobs, and alt-f#, my head exploded and I thought about all the time I could have saved in my years of using DOS with its single process terminal interface.
As far as switching out Explorer goes, it's not actually the window manager, that's Aero since Vista - but it is the shell on desktop editions of Windows... But not all editions. Some server editions ("core") and some specialized other ones have the shell set to literally just a cmd window. There's no taskbar, no Start, no desktop icons, etc. There's a cmd window that if closed triggers a reboot. Of course other things can be started from it.
I'm not sure if there's a setting that could be changed to make a desktop edition behave like that or vice versa.
The image in cygwin or something based on it
Damn. This could be a reason why there are no good filemanagers in Windows? But idk.