Shelter is one of the basic human needs along with food, water, and companionship. It is a structure that protects you from the elements and gives you a place to live.
If you get lost in the woods during a rain storm, the first thing you should do is seek shelter, or a protected place to stay. A shelter is also a place to go for help, e.g. a homeless shelter is for those with nowhere to sleep, a bomb shelter protects people in a war zone and an animal shelter houses dogs and cats without a home. You've probably heard people talking about tax shelters, which are investments that protect your money from being taxed by the government.