A moveset is a group of the attacks you give your pokemon. SInce you can only give them up to four moves, it's important that you use them wisely, so the idea of good moveset making is to give moves pokemon the moves that make effective use of its stats, abilities, etc.
Ability: Wonder Guard
Item: Toxic Orb
EVs: 252 Def, 252 HP, 4 Sp. Def
Obviously this is the best possible moveset you could give Shedinja, making good use of all his abilities. ;)
If you owned any of the pokemon video games you would know this. A moveset is a set of attacks your pokemon has.
Example: My Zekrom knows Shadow Claw, Fusion Bolt, Strength, and Dragon Claw.