As far as I remember, it used to work like that in Windows 3.1. Then, the system would boot to an MS-DOS prompt, and win would load Windows 3.
Linux in the early days also used to boot to the console, the TTY, giving most commonly a Bash prompt. Then, typing startx would load the graphical display server Xorg.
That answers your question, but in principle you do not need that anymore, neither in Windows nor in popular Linux distributions. These are set up to immediately launch a desktop environment (or at least a window manager). Instead, to go to the terminal, you launch a terminal emulator. That is a graphical application that emulates a console where you type commands. You exit that emulator by typing exit at the prompt, or by closing the emulator in another way (clicking the close button on the title bar, selecting "Quit" from the menu, etc.)
In Linux, and this is as opposed to Windows, you still can move to a console, away from your graphical environment. Press the shortcut key Ctrl+Alt+F3 and you will be moved out of your graphical environment to a pure text console, TTY3, where you will see a prompt to log in. Text consoles are also available on Ctrl+Alt+F4, Alt+F5 etc. You can log in on all of these and do different things if you wish.
To return to your graphical environment, which runs on TTY2, hit Alt+F2. The login display manager lives on TTY1. A few years ago, the graphical environment was on TTY7.
