HLSL can be very complicated and require deep knoladge of coding.. they are basically procedural textures to put on your models.... say to make the ground look like grass, or to make the eyes of a charicter glow green and emit a green smoke trail as you move about.
For non programming types you can find a variety of apps that allow you to visually build your shader so you need little programming knowledge. If you use max there is a nice HLSL shader builder called "shaderFX" that also uses direct X to draw the shader directly in the viewport for testing.
http://www.lumonix.net/No idea how these will all be transfered to WME... not sure if the .X panda export will do it or not.. you will have to wait for mnemonic to do his magic and let us know.
