Shading is something that applies to 3D game development, your use of the term shading is either wrongly applied or perhaps you mistook it for
another function (considering we're still talking about 2D Rpg Maker here)
shaders are only handled afaik on 3D graphics software (3DS max, maya, blender etc...) (and just if you're curious enough blender is the free-ish one)
now if you want to do 2D resources, there's loads of programs available,
-paint tool sai
-gimp
-paint.net
-photoshop
etc...
or you could brave up, and pop out good ol' MS Paint like I did
(it's actually a good way to make simple minimalistic HUD's, minus transparency)