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The question is entirely too vague to answer. How are you trying to connect to the Windows box? For what purpose? What do you need to do with the connection? From what kind of system are you connecting?
In order to for you to connect to a socket on the Windows box, there must be some specific process/service with which you intend to communicate. For example, if you want to connect to the SMTP service on the Windows box, you could try what twantrd suggested:
telnet <windows box hostname or IP address> 25
Is that what you are looking for? If there is nothing listening for your connection attempt, you are not going to be able to connect to it.
Shell programming is an interpreted high level language and does not have the capability of network communications all by itself. You can create a shell script that can execute netcat but without more information it is difficult to provide help.
I didn't ask you what you meant by a shell script. I think of a shell script as a program written using shell programming. The shell, I assume you are using bash does not contain any internal network functions. Maybe we are not talking about the same thing.
netcat is written in c. However, your not limited to c. Some other languages are perl, java or php.
You can google for socket programming and find lots of information, tutorials and sample code.