How can I open a Shell inside a Vim Window?

Well it depends on your OS - actually I did not test it on MS Windows - but Conque is one of the best plugins out there.

Actually, it can be better, but works.

:vsp or :sp - splits vim into two instance but you cannot use :shell in only one of them.

Why not display another tab of the terminal not another tab of vim. If you like the idea you can try it: Ctrl-shift-t. and move between them with Ctrl - pageup and Ctrl - pagedown

If you want just a few shell commands you can make any shell command in vim using !

For example :!./a.out.

You can use tmux or screen (second is able to do only horizontal splits without a patch) to split your terminal. But I do not know the way to have one instance of Vim in both panes.

Neovim and Vim 8.2 support this natively via the :ter[minal] command.

See terminal-window in the docs for details.