adb shell is a way to hook your phone up to your computer and control it through a linux terminal --- kind of like a dos prompt environment.
Android Debug Bridge | Android Developers
EDIT: I forgot you have to go into settings on the droid and turn on development mode.
As far as step by step, you need to download the Developer Environment from google, and extract it. Then, plug your droid in, if you're running windows 7 it will find drivers for all instances of the device except one. Find the unknown one in device manager, go to it properties and details and find the VID and PID for phone. Then find the inf file in the usb drivers folders of the development environment and look at the lines there and you will see other lines that mention PID and VID. Edit one of those and populate it with the VID and PID of the droid and save it. Then pick that inf file for the driver and it will install.
Open a DOS prompt windows and cd to your development environment folder and type adb shell.
ADB will connect to your phone and you will be controlling your droid through terminal. Not a whole lot you can do not but once we get root it will become much more helpful.