A shaper is a complete WP install, including the theme and all demo content. As with any WP install, it assumes that you have already created a database for WP - if you do not already have a database, you will need to create one. Creating a database can be very different from server to server, so you'll want to check with your hosting provider to see how that needs to be done on your server.
The easier way would be to use an auto-installer which most host have to install a basic version of WP, then follow the instructions on the Wordpress FAQ
for installing the shaper on an existing site.