Question: Is it possible to modify the default fonts to be used from "MS Shell Dlg 2" to another?

If yes, where do I have to set it?

Answer: 
Go to settings, options. From here the Applications section has a Font option, unselect default and edit what font you desire.

I'm in 2.4, for reference.
![Choosing Font](https://i.stack.imgur.com/y7KaO.png)
You can set the default font for the print composer items in Settings>Options>Layouts:

[![enter image description here](https://i.stack.imgur.com/0c67G.jpg)](https://i.stack.imgur.com/0c67G.jpg)

But I don't think there is a way to set one for the rest of QGIS, like labels. But the print composer is the most common place for fonts, so that should help a bit.