According to this documentation: https://rasa.com/docs/rasa/docker/building-in-docker/
You need to have Docker installed on your System. (Use WSL2 on Windows to execute commands)
Run this command to train the model:
docker run -v $(pwd):/app rasa/rasa:3.6.20-full train --domain domain.yml --data data --out models
Afterwards run this command to start the rasa-shell:
docker run -it -v $(pwd):/app rasa/rasa:3.6.20-full shell