Windows 1.x, 2.x and 3.x required a DOS to be loaded before running them. Later Windows 9.x and ME had similar (?) way of working, but DOS was included with them, 32-bit multitasking and other stuff added.
I would like to ask about MS-DOS window in Windows 95/98/Me. Correct me if I am wrong, but it was not calling a MS-DOS behind the scene, but rather provided some emulation of MS-DOS. That's the reason why running DOS application in Windows 95/98/Me was much slower than running them directly in DOS mode (exiting GUI and running in DOS, before Windows will start loading)? Moreover many applications even was unable to run at all in that window.
So was it something like more recent DOSBox project, but with of course worse isolation, allowing direct calls to the hardware that makes it faster, but unstable? And it couldn't be in other way, because of the speed of PCs of that era.