You cannot catch a Shedinja in the wild. You must first catch a Nincada. When your Nincada evolves into a Ninjask, make sure that you have at least one empty spot in your party, and a Pokèball of some sort so that you can get Shedinja.
Shedinja will also be at Level 20 and will have the same attacks as Ninjask, however there is a difference. Shedinja has only 1 HP, but it also has the ability, Wonder, which means that only super effective attacks will work on it. This means unless you are faced with an opponent that knows Fire, Flying, Rock, Ground or Dark moves, you are invincible. Shedinja can be pretty useful if you return it at the right times.