When the shelly first starts up it forms an access point that you connect a cellphone or wifi computer to. If I recall correctly the shelly will be at 192.168.33.1 and your phone will be at 192.168.33.something.
You then access the shelly’s web page at 192.168.33.1 and set it up to access your home access point.
Once you have done that, reboot the shelly and HA should find it.