First, here's a basic definition from Merriam-Webster: "the use of marking made within outlines to suggest three-dimensionality, shadow, or degrees of light and dark in a picture or drawing." That is to say, shading is when you use your pencil, marker, charcoal, paintbrush, etc. to make a drawing look like it's 3-D. When you shade, you apply your material more densely to indicate darker areas (a shadow, the back of an object) and more lightly/less densely to indicate lighter areas. Artists use many different strategies to shade their drawings: you can explore a few of them at this website, which provides a tutorial of methods such as blended shading and crosshatch shading. I would also check out this Enotes thread on shading, which explores the difference between shading and coloring. Good luck with your learning & exploration of drawing!