shell-dumb-shell-regexp

shell-dumb-shell-regexp is a variable defined in `shell.el'.
Its value is

"cmd\\(proxy\\)?\\.exe"

Documentation:
Regexp to match shells that don't save their command history, and
don't handle the backslash as a quote character. For shells that
match this regexp, Emacs will write out the command history when the
shell finishes, and won't remove backslashes when it unquotes shell
arguments.

You can customize this variable.