Shields

I have an Arduino Mega ADK (Google 2012) but it doesn't have an IOREF pin. Can I use the shields without this pin ?

Yes. Most shields don't use the IORef. The shield documentation should say what models of Arduino it works with.

So what do I do if I want to use shields with my board?

SagarDev:
So what do I do if I want to use shields with my board?

Plug them in? Read the documentation? Install a library? Use the library examples as a starting point?
Perhaps if you said WHAT shield and HOW you want to use it we could be more specific about what to do.