I messed about with this sort of thing a while ago and it's actually pretty easy.

You need a resource hacking program - I've always used one called Resource Hacker, but you can use whatever you like. Open c:\windows\explorer.exe in your program and find the data String Table > 46 > 1033. You should be able to see the text for various things in the Windows shell, so just change the appropriate text to whatever you like.

If you're using Resource Hacker, you need to compile the script with the button above the right-hand pane (I don't know about other programs ), and then go to File > Save As, and save it under a different name to explorer.exe. I did it just now and called mine exploder.exe.

Then you need to make Windows use your modified shell. Go to Start > Run > 'regedit', and navigate to the key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon. Find the string value "Shell" in the left-hand pane, and change the data in it to point to your modified shell.

Finally, start your task manager with ctrl + alt + del, and go to the processes tab. Kill explorer.exe and then run your new shell with File > New Task > 'exploder.exe' (or whatever you called it).