All that does is change a setting in your registry.
In fact I believe there's a post (possibly sticky) on this forum about it.
From trap17.com (first google result):
Quote:
Changing the default shell (all users):
1) open regedit (start menu > run, and type in regedit)
2) go to: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon.
3) Change Shell from explorer.exe to the new shell path e.g C:\Litestep\litestep.exe
4) log out and log back in.
Changing the default shell (only current user):
1) open regedit (start menu > run, and type in regedit).
2) go to: HKEY_CURRENT_USER\Software\Microsoft\Windows NT\CurrentVersion\Winlogon.
3) add a new string value (Edit > New > String Value) called shell. and set the value to the path of the new shell e.g C:\Litestep\litestep.exe.
4) log out and log back in.