where will i get shadow and how

I suspect that he may be referring to a little further in the game.

The last and final time you get him is only possible if you wait for the last second to leave a certain area. (Very obvious once you get there.) Then, later you have to play through a dungeon on the Veldt and do something at the Coliseum.

Yeah, in the world of Ruin you need to go into the Cave on the Vedlt, just go onto the Vedlt and find a cave, go through it and kill the Behemoth guy, in the cave you should get a speical dagger, I forgot what it's called somthing like Ukaizi or somthing, you bet it at the collosuim, face against shoadow, beat him and Viola. : )

In the cave after the event get the ichigeki then go to the colissium, there bet the ichigeki.

Now if you bet the ichigeki you get a 50/50 chance of either fighting shadow or typhoon, if you fight shadow and win you get back your ichigeki and he joins your party permanently in the world of ruin

quote Matt Addison

You get Shadow once Sabin leaves the party and ends up on his scenario near the Veldt. He will join your party if you speak to him at the old guy's house. However, there is a chance that at the end of every random battle, that he may leave your party.

He only leaves after random battles once you've got Cyan in the party.