If you are asking about a shell script, just create a text file with the commands you want to execute inside it. Then, make the file executable and readable and you have a shell script file.
A shell program is more complicated; you need to support the user features that most users would expect a shell program or shell interpreter to do. I would suggest studying the source code of a current shell program to see how to go about implementing one of your own.
There is no "default" Unix shell. Different Unix vendors shipped different shells.
The first shell was 'sh', the Bourne Shell
A Unix shell can be obtained in Cygwin, a Unix compatibility layer used to compile Unix programs and run them on Windows. Microsoft also makes a shell known as "Windows PowerShell" which incorporates more Unix-like features than the standard command prompt.
The a default Unix shell is the shell that comes with and is activated initially with your distribution of Unix. The shell is essentially the program the runs the command line interface allowing someone to interact with their computer. Some examples are the Bourne-Again shell (bash) or the Bourne shell (sh).
The Korn shell.
The Z shell is a Bourne-compatible shell for Linux and Unix systems.
You should be able to download the Unix Services for Windows, version 3.5, from Microsoft (free). There are other shell emulators that are available for Windows, which would allow you to use Unix type shell scripting without installing any additional OS. Your question about "virtual UNIX" is unclear ..
shell
The bash (short for Bourne Again Shell) is a popular command shell for Linux and Unix-like systems. It's name comes from the Bourne Shell, an old shell found on many older Unix systems. bash is a free reimplementation of that shell.
Certainly (yes). A shell is just a user interface program and any user can create their own if they are so inclined. If other users wish to use this new shell program (particularly as a login shell) it can be added to the /etc/shells list.
By typing its name into the shell
The mini shell program is used in Unix as a programming software. It is a redirected and streamlined approach at creating variables, commands, and tokens.