It doesn't?!? Why does it look like DOS upon start up? WTF is this "run" option in the start menu?
The "run" option simply let's you run DOS inside Windows. Even Mac OS Classic was/is just running inside OS X. If you start OS X in single user mode (cmd-S during start-up), it also "looks like DOS".
Believe me, Windows 3.1, Windows 95, Windows 98, Windows ME all ran on top of DOS. Windows NT was developed alongside the latest of these DOS-based version. Even today, if you start up Windows 2000, it will say something like 'Based on NT Technology'. Going to the NT kernel and leaving DOS behind was a big step for Microsoft.