Shen is a unique tank in that he's actually very squishy to start off with. I'd recommend getting a few ranks in
Feint early on and time the shield well to block damage from enemy projectiles. Use defensive masteries and runes. You can also jungle (http://www.mobafire.com/league-of-legends/build/besateds-jungling-shen-edited-24611#lastcomment this is the first jungle shen build I found). Jungling will get you to the point where you have decent amor and MR without having to face enemy champions in the lane where they might take advantage of your squishiness to zone you.

I had trouble with that when I first started play Shen, and I later found out it was because he has a unique play style with his taunt/ult.
He is suited to take a small amount of CC(crowd control) and to direct fire off your carries/mages.
Early game just last hit with Q if your finding it hard to get up close to hit the minions. I usually max taunt, and get 2 in w before 6, then max Q. Reason for lvl 2 W before 6, its always nice to pop that when you taunt someone.
If you feel like you are getting harassed to much, max taunt and w with 1 level in q for last hitting. items are pretty situational, but ommens is always nice for the aoe slow after you ult, and health/armor boost. I like to get a sunfire cap as well for some extra DMG/Health/Armor. If you feel like you need more help farming early, sunfire cap is nice plus for the extra framing, and health. I dk, just try and get a feel for him and remember your designed to taunt into some1 who is focusing your carry or mage.
Hope that helps! Gl!
Edit: Didn't see your post Trojan, running into you everywhere it seems like ><! lol Haven't tried jungling Shen, thanks for pointing that out!
He is suited to take a small amount of CC(crowd control) and to direct fire off your carries/mages.
Early game just last hit with Q if your finding it hard to get up close to hit the minions. I usually max taunt, and get 2 in w before 6, then max Q. Reason for lvl 2 W before 6, its always nice to pop that when you taunt someone.
If you feel like you are getting harassed to much, max taunt and w with 1 level in q for last hitting. items are pretty situational, but ommens is always nice for the aoe slow after you ult, and health/armor boost. I like to get a sunfire cap as well for some extra DMG/Health/Armor. If you feel like you need more help farming early, sunfire cap is nice plus for the extra framing, and health. I dk, just try and get a feel for him and remember your designed to taunt into some1 who is focusing your carry or mage.
Hope that helps! Gl!
Edit: Didn't see your post Trojan, running into you everywhere it seems like ><! lol Haven't tried jungling Shen, thanks for pointing that out!
The battleroom is ready. Liqur's hands are steady. The enemy is deadly.

Shen was difficult for me at first as well. Making a focus on last hitting minions will help you significantly. Getting at least 1 level Feint early and using it often makes a big difference also.
Good luck!
Good luck!
Shen is overpowered, in all my shen games I pull off heavy scores like 8-5-29..
You must remember however that shen will be only as good as his team is, you should not be getting all the kills, this will affect you and your team in the long run, go for assists and farm like a boss..
I start off getting a
Doran's Shield and health pot, this will allow me to take some hell, and lane longer, shen is amazing at last hitting minions, something you should focus on, pressure your enemies with Q. After you level get E, the taunt, now your laning partner can harass a bit, and you can protect him, use your E to get into a fight, and to get out of a fight. W is very useful if your opponents hurt. Its hard to explain how to use shen, you have to get the feel of him, dont always jump in to save your allies if you know you will die instead, try to save them, but dont be stupid. Ghost and Exhaust will help you alot, taunt in, ghost up (if your OOE) exhaust can save you from the heavy hitting DPS, like Tyrn for example. There are some amazing guides on mobafire, check them out. It could also be the case that Shen is NOT for you. Just like I can't play casters, even though some of them seem very easy, I just can't play them, Im made for tanking and DPS. It all depends on your playstyle.
You must remember however that shen will be only as good as his team is, you should not be getting all the kills, this will affect you and your team in the long run, go for assists and farm like a boss..
I start off getting a

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and I suck.
I'm fairly new, but I've regularly used Cho'gath with no problems (and several other champs), so I'm not unfamiliar with the basics or even playing tanks.
I just can't seem to wrap my head around Shen...my last game I went 0/9/5 :/ I've never had such a bad record on any champion, even my first ever game (playing shaco, of all the starting champs to pick).
I can't seem to stay alive, I can't seem to lane with him, and my presence in team fights seems not too disimilar to that of a pinata...