If you don't have internet access on your phone, you need to download the program from the internet on your computer. There are websites where you can find lots of programs for handheld devices like cellphones. You can find a free version of tetris called tobitris at http://www.mobilerated.com/tobitris-1892.html (You might like a paid version better but maybe this one is good enough to amuse you for a few minutes while waiting for the bus and at least you can practice getting it on your phone without having to pay for it.) I should also warn you that there are a lot of games out there that are free to download but assume that you have an internet connection so they can put advertisements on your phone and just don't work if you don't have the internet connection enabled on your phone. Tobitris is not one of these, it is free to download and doesn't need to access the internet on your phone.
Once you have the file, you need to get it from your computer's hard drive to the phone's memory card. If your phone came with a cable that allows you to plug one end into the phone and one end into a USB port on the computer, chances are all you have to do is plug the cable and wait until it lets you open Window's Explorer to browse the files on your phone, figure out what folder games should be in, and copy the file you downloaded to that folder on the phone. It's a little more complicated than that with some phones, but if so, they probably would also include a CD ROM with the cable and you'd have to install the software on your computer to do the transfer. Some phones have the ability to use a cable that isn't included with the phone - i.e. they'll charge you extra for it.
If your phone doesn't come with a cable, another option is to take out the memory card and have the PC read it with a card reader. The T-Mobile Shadow uses a microSD/microSDHC card. Some PCs and laptops come with ports to read these cards; if not you can buy a card reader, which will probably also work with other memory cards including common cards used in other phones, digital cameras, etc., for less than $20.
As when using the cable, you would then need to browse through the folders on the phone's memory card to figure out where to copy the file that you downloaded from the internet. (It would probably be called Games).