The shell is the first thing you see when you use a computer, so it's very important that you get that "first feel" right, or you just won't feel at home. You can choose an alternative shell such as LiteStep instead of Windows Explorer, but I don't recommend that, since a lot of Windows's functionality depends on the Explorer shell. If you want to use an alternative shell, you can simply change the "shell=" line in system.ini file inside the Windows directory, make sure that you can boot into command line to redo that change before you do that.

Choose a darker color such as Black or SlateBlue for your desktop background, do not use any wallpaper (you don't have any for your 256-colormap entry UNIX workstation, do you?). Choose a small-to-medium font for your system font (you can change that in the Appearance tab under your Display Properties applet using Control Panel, change the "icon font" entry), personally I recommend using Tahoma for all system fonts. Resize your icons to 32x32 instead of the default 48x48. Drag your taskbar all the way to the top. Choose a darker theme for your Windows Desktop, do not use white as your background, instead, choose lightgray or something lighter (in my xterm, I use gray90 as foreground). But you don't have to go to the extreme to use the reverse video display to get a complete UNIX xterm feel.

Disable all the menu animation stuff unless you really want them to be there (UNIX doesn't have this), download and install TweakUI and reduce the mouse's reaction time to the fastest, enable Mouse AutoFocus and AutoRaise, choose AutoRaise time to be 700ms (or anything you prefer) to emulate Xwindow. For Win95 you can use XMouse, for Win98 you can use XMouse2000, for WinNT you can use NT Raise, for Win2K you can just use TweakUI itself.

Now, let's go to step 2: Configure the command console.