By selecting Plugin Options - Console - General, you will notice a number of options. It is recommended you browse through them to get a full idea of what Console (and your other plugins) can do.
Shell Prefix - This string is inserted before the command you type whenever a command is executed. Console itself does parse and preprocess your commands in its own way, but you have the option of having the commands subsequently evaluated by your native command line shell, which will in turn execute your command.
Console can choose a sensible os-specific shell prefix for you, by setting it to osdefault. If this field is blank, or if none is used, Console will execute commands directly (without a prefix). I prefer using a native shell for its functions, aliases, and redirection, but you can try different values here to see which works best for you.
In addition, if you like to use a different shell from the OS-default (4NT, or cygwin's bash), you can add it to this list and see if it works.
Merge stdout and stderr - this option will only affect users of "make", where Console needs to merge the streams in order to resolve pathnames of files of errors inbetween "make entering..leaving" messages.
Subshell extra PATH - This option prepends directories to the environment before spawning subprocesses. If you want your jedit console to be able to find some files in the path, add those directories here.
Character Encoding - If you want to display characters in a different language, change the encoding here.