Depends what you want to run instead but if you go to the registry key:
HKLM\SOFTWARE\Microsoft\Windows NT\WinLogon\Shell
you can change that from the default explorer.exe to another windows executable, when you next restart and logon that will be the high level shell that windows will use.
Yes it does Sometimes but not always. Can i ask why you want to do this? I know you can replace explorer.exe with unix based/alternate versions. Are you finding it using up most of your CPU/MEM usage?