If you run CF as a shell then it will be the only program running when you boot into windows. The benifit of this is you use less ram, the system can become more stable because of less programs running like explorer and your system may even run a little faster.
But when you select CF as a shell then it boots first and does not allow any other programs to boot after it like girder. David is working on a fix for this. Check out the thread about this.