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the shell is simply the command prompt window where you type commands (technically this not the definition of shell it's just an explanation of what is does). For example you can achieve this by looking for "command prompt" under the start menu.

You can simply install sage on Windows by getting the suitable binary for Windows after installing this, you will find 3 new programs added to your start menu " sageMath 9.2", "sageMath 9.2 Shell" and "sageMath 9.2 Notebook"