Monad - or msh as the exe is called - is still in the works. Currently, it is in public beta 2 (September
2005). You can get a version for .Net Framework 2 RC/RTM at MS Downloads. Click this link to search for your version.
If you want to get a little deeper into this, look at the Channel 9 videos on Monad. They feature Jeffrey Snover, are short and useful.
Getting Started documentation is available here.
Monad can do the same stuff in a few commands like you can do in many lines of VBScript (or similar) - it will hit you some day!
Being an old (Open)VMS user, it really like the nice words he uses about its DCL. Even though it can be better, it is very good owing to it consistent syntax, error handling and lots of other features. Man, I spent a lot of time using that...