Windows 2K/XP:
I recommend having a main administrator-level account that uses explorer.exe as the shell for system critical driver installations and Windows updates. This insures that nothing goes funky because the default shell isn't loaded (MS isn't fond of third party software running at the core of the system and certain windows updates might get b0rked if explorer.exe isn't loaded as the shell).
Once you have your explorer account all ready to go, create a new account for your alternative shell (I have one called brian_litestep and one called brian_bb4win). Log into the shell and then run regedit (start --> run --> regedit). In regedit, follow these steps (Thanks to Omar Hussein!):
1. HKLMSoftwareMicrosoftWindows NTCurrentVersionIniFileMappingsystem.iniboot set the 'shell' String to: USR:SoftwareMicrosoftWindows NTCurrentVersionWinlogon
2. HKCUSoftwareMicrosoftWindows NTCurrentVersionWinLogon set the 'shell' String to: x

ath_to_shellyour_shell.exe
3. HKCUSoftwareMicrosoftWindowsCurrentVersionExplorer set the 'DesktopProcess' DWORD to: 1