For Win98 and WinMeFirst, go to any download site and look for a hex editor. I use phred, but there's many others. (This can be done with Write from Win3.1.)
Note! Don't let the words 'hex editor' scare you. This is easy.
Anyway! Got it? Good. Copy Explorer.exe from c:\windows\ to someplace convenient for you, and open it with the hex editor. The right-hand column is editable text; scroll through until you see things that look familiar and change them to suit you. Remember to only replace letters, don't add extras. For example, you'll see:
in there somewhere; that's the Start button caption. Change it to:
or something else that's five letters. (You can use periods too; the dots between the letters aren't periods and should be left alone.)
(Interesting side note: go to Start menu -> Settings, hold down the Ctrl key, and click Taskbar & Start Menu to see the disabled Deskbar Options tab. You'll be able to change that tab and its buttons, too.) Follow the guidelines above so you won't be left with an unstable Explorer. I've changed almost every single letter in mine, and it's never crashed.
For Explorer.exe and other Windows executables, you can use the freeware (http://www.google.com/search?q=ResHacker) ResHacker. Much easier.
Finally, make it your Windows shell by opening c:\windows\system.ini in Notepad and changing the 'shell=Explorer.exe' line to point to your hacked explorer, including the full path, i.e. c:\hacks\explorer.exe. Here's the top five lines from my own sys.ini: