Shell is another term for a terminal or command line. Assuming you use Windows, you'll want to download a program called Putty at http://www.chiark.greenend.org.uk/~sgtatham/putty/.
When you run it, type the address of your server in the box and click connect (provided your server is using the default settings; you may have a seperate URL for shell access and/or special parameters that need to be set; contact your host for details). You will be prompted for a username and a password.
When you enter the password, it is normal for characters not to show up. Once you get into the shell, you can use the following commands to navigate around :
ls - lists files in the current directory
vdir (may not be available) - more detailed information about files in the current directory. If this is not available, ls -l does roughly the same thing.
cd <path> - changes directory to <path> (replace <path> with the path you wish to navigate to)
rm <filename> - removes a file. You can replace parts with a * to indicate wildcards (typing rm *.html removes all .html files for example)