Windows 95 Program Manager
I am not sure why you would do this, but it is possible to use the Program Manager as the default shell.

Windows 95 VDM
Like Windows 3.1 you can run programs in a Virtual DOS Machine. And it is still possible to exit to a real-mode DOS prompt.

Windows 95 Shutdown
Shutting down Windows 95.

Conclusion:
Windows 95 introduces a number of new, enticing features. Since it is new it does also introduce a few shortcomings. Unfortunately later versions also introduced many shortcomings to this list, while fixing a select few of them.

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