The last time I looked, Git on Windows required you use a different shell than the native Windows command shell (not that I'm a fan of the crappy Windows shell, but it does make it more awkward and feels less "native").
I've been using MsysGit (Windows) for about 18 months as a "local vcs" wrapper around a sucky vcs (Accurev). Until the most recent MsysGit release, I used the "git bash" shell exclusively: for each Accurev workspace, I had a CMD shell where I ran builds in the w/s, and a git bash shell where I operate git for that w/s. This was mostly satisfactory (being able to write true bash scripts to automate git a tiny bit was cool), but when working with sometimes a dozen or more workspaces, it can get a little time consuming to locate the respective shell's mate. Anyway, MsysGit has mostly worked quite nicely for my limited purposes. However I am now evaluating hg as a possible replacement for Accurev (I'm running a quasi-import over the weekend). I'm also running a git import in parallel (mostly to compare repo size growth over time), and to do that (in lockstep) I'm running git from a CMD shell; so far I've not had any problems using git in CMD (wait, git's interpretation of the %EDITOR% environment variable in CMD is broken). Why hg, after all my experience with git? As mentioned elsewhere in this discussion: MsysGit (git for Windows) is like a "second class citizen"; it's pretty clear that the git creators have a negative religious attitude about Windows, thus expecting equal functionality and support on Windows is folly. The MsysGit discussion threads reflect a shoestring operation, with overwhelmed developers solely scratching their own itch (fair enough as far as it goes). Whereas hg treats Windows as a first class platform (presumably because it was designed and built with that in mind). I still like git's branching feature (which is why I chose it initially over hg), but between hg and git, hg is IMHO the only pragmatic choice for a "Windows shop".
I think it's called Git Bash. It isn't so bad though, you get some working Unix commands with it. Come to think of it, I think it's better than CMD, to an extent.