Peter,
I know that Net shielding is useful when you have a high frequency signal in a trace and you are trying to 'shield' the trace so that you decrease the amount of electromagnetic interference. However I am no RF expert, this is something I know from talking to several people. Other people I have talked to, instead of doing net shielding they prefer to pour copper (add copper areas) filling all the blank or empty spaces between nets and either leaving those copper areas not assigned to any net or grounding them in some cases... it depends mostly on the designer and the electrical implications this will have... but again I can't offer you some advice on that area since I'm not educated on it...
If you select Design >> Shield Nets, once you have the dialog, press F1 in your keyboard this will bring the help file for that dialog.
In a general summary, lets say that you have a net named high_freq_signal and you want to shield it with GND. You click the Advanced button in the Net Shielding dialog then select GND as the Shield Net, and in the Nets section select the high_freq_signal net... once you click OK twice to apply net shielding Ultiboard will draw the corresponding traces (shields) around the net you selected and then it will try to autoroute the shielding net (in this case GND). The Results tab will display any errors or warnings if any were encountered in the process.
I hope this helps...
Nestor
