Using a shell account on another box, however, is mostly inconvenient, so I'd recommend setting up a Linux box of your own...

You can install Linux on the same computer as Windows, but it's not exactly the best setup, and is not totally trouble-free... a separate computer would be best.

Linux Mandrake 7 or later have easy to use install interfaces, and can automatically repartition your hard disk without losing data (as long as you've defragmented in Windows first!).

If you need a shell account, root on your own Linux box would beat most competition!