I assume you're mistaken with how to get a Shedinja (since you don't catch one in the normal sense).
You need to catch a Nincada and evolve it into a Ninjask, but also have an extra Poke Ball (the original red & white one) in your bag and an extra slot in your party, then Shedinja will appear.
You get Nincada at the National Park during the Bug Catching Contest.
