Although you'd not know it from looking at the download page, MSH Beta 1 (June '05 drop) is now available publically - there's no need to go through the process of getting onto the formal beta program. If you just want to play with MSH, then download the SDK and start playing (and take a look at my sample scripts page to get some cool samples to play with while you learn the product).
The SDK can be downloaded one of two ways - either the full package or the web download. The full package (cleverly called setup.exe) is 317 MB, while the web download size will vary depending on what you intall. The web setup program itself is 977KB. Sadly, there appears to be no MSI package for this download, making it just that little bit harder to deploy via Group Policy. Having said that, the program does have a silent install mode, so you could script the installation, and do the install as part of a logon script, or have the user run the script from a web site or email link.
While fantastic thus far, MSH is still evolving. There are a number of features missing (e.g simple COM interop), some features are being changed, and bugs are being fixed. The next drop, which should occur around the time of the PDC in September, promises to bring a number of welcome improvements and changes. So if you are an admin, fed up with the traditional poor command line support, and you want to contribute to the product's development, then please join into the MSH beta programme and use the NNTP news group!