A shared host is a server that multiple users share.
It's different from a Virtual Machine, in that it is a single single system with shared resources vs a virtualized system with memory and cpu power allocated to it.
The main advantage to shared hosting is that it's cheap, usually $5-10/month.
However, since it's a shared box, things can sometimes run a little slower. You get what you pay for.
Many providers offer bundled services like email hosting and domain registration.
CPanel
CPanel is an application for managing web servers. Most hosts provide this as the interface to their service. You can configure new domains, manage PHP versions, create mysql databases, and more.
Auto Installers
An auto installer, like Scriptaculous can be offered to make installation of applications like Drupal easier.
You may want to use this if you want to quickly get started with Drupal, but if you want to develop the site on your computer, you may want to deploy it yourself and not have it managed by this system.