Okay, it depends what shape your going for, but the standard way to do it is this... *rushes off to make a diagram in paint*
You can do this before or after you put the rest of your eyeshadow colours on.
Step 1) Look straight ahead into the mirror, and make a mark with whatever colour you want to go in the crease just above the fold of your eyelid, directly above your pupil. Unless you're going for a really heavy look, mark this very lightly.
Step 2) Make an imaginary line going from the bottom of your nose to the outer corner of your eye (and if you have well shaped eyebrows, that's where the tip of those should end, too).
Step 3) Mark out the line (again, lightly) between the corner of your eye and your eyebrow, stopping about 2/3 of the way up. For a good, everyday shape stick to this line- blend inward instead of outward, or it'll look funny (unless you're going for an avant garde look).
Step 4) Go back to the first mark you made (above the pupil) and pull that mark out so it joins up with the line. That should mark out your shape pretty well, now just... go ahead and slap on everything else!
Hope that helped o.O It was shown to us, never written down, so I don't know if that came through very clearly.