The shelter is where you take cover when the bombs drop. The outside of the shelter has a wooden hatch leading into it. The shelter is also where Ted or Dolores bring whatever they are able to grab whiten the 60 seconds allowed. After (hopefully) surviving the initial bombing. This is where you ration out supplies and deal with the almost daily events. You can also send people outside of the shelter to scavenge for supplies.
It is also where you die probably.