MS DOS in W2K and WinNT for that matter, is emulated.
To keep things simple, MS DOS runs above the Kernel mode. The HAL (Hardware Abstraction Layer) along with System Services run in the Kernel mode for W2K, and Applications run above this in a user mode. In the Winnt folder there is an app called cmd.exe. This is where W2K goes to run an MS DOS Prompt.
Anything that runs in the user mode is less privileged, as it doesn't have direct access to the hardware. This then prevents Apps crashing W2K out.
So, when you next try to run MS DOS Apps in W2K, and it crashes, but your system stays running, this is why.
But this causes problems. Some MS DOS Apps like control of your hardware. Called Realmode Drivers. CD-ROM Drives are sods for this. These Apps are sometimes called Pure DOS Apps, and getting them to run in W2K can be a problem.
But anyhow, drifted a bit there... As all the others have said. Press ALT and Enter for full screen MS DOS (Emulated..!!)
Also, make things quicker, on the start menu, at the run command, type in cmd.. Voila.!!
Mickbench