BryanGT,
In windows you use your windows command console (cmd.exe). Navigate to the directory that adb.exe is in then type 'adb shell' and it will open your adb shell.
To make it easier down the road you can add that directory to your 'Environment Variables' so that you can just type 'adb shell' when you open cmd.exe.
In Windows XP:
- Right-click My Computer, and then click Properties.
- Click the Advanced tab.
- Click Environment variables.
- Select Path from the list of existing variables then Edit.
- Append the variable by adding the directory path of your adb.exe file (be sure to put a semicolon ';' between path variables.)