well, let you experiance linux. a live cd is a cd that you stick in your cd rom and boot from. it doesn't require an installation and doesn't overwrite stuff on your hard drive. You cannot configure settings or anything like that or save stuff while using it but it'll give you a feel for it. A shell is an account on a *Nix system you login via ssh. this will get you use to the terminal or command line of linux. it's important to know how to do stuff through a CLI (command line interface). cygwin is a program you install on your computer which runs like linux. it's like having your own personal shell on your windows box without having to install linux, buy one, or find someone who'll give you one.
