Sorry, I didnt explain that very well - you dont actually replace the file, but you use your EXE as a replacement for loading up explorer.exe as the shell.
In XP, this is done in a registry setting:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon] Shell = explorer.exe
You can change explorer.exe to your EXE file. Restart windows XP and itll load up your EXE instead of explorer.exe.
Note that you can easily screw up your machine doing this. To switch it back youll need to be able to run regedit in your shell (or automatically change the registry setting back). Dont hold me responsible if you mess it all up!
In windows 9x it was a lot easier - you just changed the c:\windows\system\system.ini file so [shell=] pointed to something else.