While Windows 95 and its direct successors are still rooted in MS-DOS, they are basically treated as complete operating systems in their own right, as opposed to Windows 3.1x and earlier being nothing more than graphical extensions to DOS. Windows 95 operates in this fashion from startup to shutdown, so you won't be able to reach a raw DOS prompt unless you explicitly state you want to enter MS-DOS mode from the startup options or the shutdown dialog. A normal shutdown would either turn off your computer or tell you to do so when it's ready.
So how is it possible that one could play music at the "It's now safe to turn off your computer" screen? Turns out Windows 95 and 98 will gladly alter the way they shut down depending on how they're launched. If you start Windows normally and then shut down, the system will lock up as it waits for the <CTRL> + <ALT> + <DEL> key combination or a poweroff.
But... if you first boot into the Command prompt only mode at the startup menu (which can be reached by pressing <F8> at the Starting Windows 95... message), you can manually start Windows by typing win at the command prompt, the same way Windows 3.1 would've been started. Once you shut down Windows from there, you'll still see the notorious message, but if you blindly type mode co80 and then <ENTER>, you'll find that you have a fully working DOS prompt, and can even return to Windows if desired! It really gets to be funny if you run a different program like DOSamp with the right arguments, where it'll be stuck at the same screen as it plays your MP3 file of choice.
Of course, nobody wants to remember to type mode co80 once Windows shuts down. The solution to seeing the DOS prompt right away is to delete or rename LOGOS.SYS in the Windows directory your installation resides in. A generic text-based message indicating the system is ready to be powered off will be displayed instead, followed by a prompt if you started Windows by typing win.
But what if you're using a laptop or an ATX power supply? The computer would just turn off before you even have a chance to enter any DOS commands, unless your APM BIOS was disabled or configured in such a way where it wouldn't allow soft poweroff. So it's all no good unless you have an AT power supply handy, right? Fortunately I've programmed a solution called APMTOGL that allows ATX users to be counted in to this amusing yet ultimately trivial trick! Running that program in the Windows 95/98 system you're working with will prevent it from turning off the computer upon shutdown, so as long as the ACPI driver is not installed in the latter operating system.
Change How Windows 95 Starts Every Time
Okay... but all of that still has a serious inefficiency. You're supposed to hit several keys right as Windows is about to start up, and the thought of doing that every single time just wouldn't be worth the effort... well, automating the process is easy! You only need to modify two files in a plain text editor.
The first file to change is MSDOS.SYS. This used to be part of the MS-DOS kernel in versions 6 and earlier, but now it is just a basic text file containing a few initialization directives. By default, this file cannot be overwritten as a safety measure, so you'll need to open it up with the following command:
ATTRIB -S -H -R C:\MSDOS.SYS
assuming C: is where the file is located. This also unhides the file, making it visible in a normal directory listing. Now, use EDIT or Notepad to edit the file. Under the [Options] section, set BootGUI= to 0. Save the file and exit the editor. Because MSDOS.SYS is a very important system file, you'll almost certainly want to reapply the attributes it had with this command:
ATTRIB +S +H +R C:\MSDOS.SYS
Bugfix explains the ATTRIB command in greater detail on his website if you want to know more about that. Anyway, the next file you'll want to edit (or create) is AUTOEXEC.BAT, also at the root of the Windows 95/98 installation. Simply add the line WIN at the very end of the batch script. (This line is not necessary if you do not want to start Windows immediately when booting your computer)
Restart your computer and see the results for yourself. Windows starts up like normal, so you may not really be able to tell the difference unless the bootloader switches to displaying the AUTOEXEC.BAT output itself or you press <ESC> during the animated splash. When you shut down, you'll see that you've set up Windows in a way where it returns you to a command prompt every single time - going VERY old school! Most users won't need a setup like this, but it is very much possible just in case you do, perhaps if it comes to your mind "whoops, I didn't want to shut down, I wanted to do this instead..."
Most of these solutions will not work on Windows ME, as it bypasses a lot of DOS-based routines and doesn't allow dropping to a real mode DOS prompt anyway.