The shell is basically a program that takes your keyboard input, usually at a command prompt and gives it to the operating system to process it. You can also put shell commands into a file and execute it using "sh filename".
There are different types of shells csh, ksh, bash. bash is probably the most commonly used. Its actually very interesting. I would advise you to look up some shell scripting tutorials online. You can practice shell commands using either cygwin on windows or linux or any unix OS.