What do you mean by building? Without being too technical making software involves:
1) Programming (a shell is merely just another program with a collection of ueser interface facilities). The program is just a series of commands and declarations in a text file. You need just a simple text editor to make such code. Often it is written in a language called C or C++.
2) Compiling. The text made in step #1 is translated in a form that is easier to manage for software in step #3. The files generated by this step can also be distributed without the need of having its source (made in step #1). These files _can_ be in a format that is machine independent. The software used in this step is called a compiler.
3) Building: The files produced in step #3 are translated in the actual program. These files are the ones we can run. In MS Windows these show up as EXE files. The software that produces the executables is called a linker.
The easiest way is not having to compile or build an operating system at. MS is doing that. You just need to install it. But that limits the OS to compatible processors only. Unix often distributes the files in step 2 only. The manufacturer often keeps the files of step #1. So Unix can be ported to other processor without much fuzz (partially true, but I won't go into details). Linux offers you both the files produced in steps #1 and #2. So you can change the code if you want and compile and build it. Or you can just build the compiled code given to you. Some newer distributions will probably integrate the building step in the installation procedure, so you won't notice the building step. I remember reading about that a while back. Building your own software (step #3) has the advantage that the executables can be optimized for your processor.
Of course you will need a good compiler and linker if you want or need to do these steps by yourself.
The kernel (the part of the operating system which contains the basic functions), the shell (the part which contains the user interface) and the drivers (the parts which controls the hardware) are just programs like any other.
So the above gives us the simple answers to questions in post #4:
No, you cannot do that without changing the code in step #1. MS has it. But you can use additional software like WebBlinds. But you don't want that.
Yes, you can build any part of Linux you want, including the shell.
No, I never build a Linux shell.
I'll advice you to use the most friendly Linux distribution you can find or be prepared to invest a lot of time in it.
And the answer to your next question: No. We won't add a KDE theme section.
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