TFS is a strange beast - some things are so easy to do, some things are unbelievably hard. And it's not easy to find answers either when you are stuck.
Case in the point - making shelveset is very easy - you just have to click on Shelve button instead of Checkin, name it (paying attention to avoid certain characters in the naming, as usual on windows) and that's it.
Finding a shelveset? Before latest TFS, you had to go to Files menu, then to Source Control, then to Find, then to Find Shelvesets. Not exactly path that you would expect. So, in the latest version, they added it to Pending Changes screen, under Actions link, much handier.
That allows you to see your own shelvesets. If you want to find other people shelvesets, then nature of the beast shows up. It's hard. You have to know exact name of the person that made shelveset, and search box will not accept partial name, or not complete name (and that can include things like company name, status etc, whatever TFS admin / IT set up).
Only workaround I have found so far is to use wildcard "*" instead. That will show you ALL shelvesets from everybody, and you can then look for the one you want, and see exact spelling of the user name there for the next search.