Before beginning any work around a shower stall, put a canvas drop cloth or tarp down. This makes for easy clean-up once the job is done, and also helps prevent damage to your shower stall from fallen tools or other materials. It's always a good idea to pick up any nails or screws you might have dropped as well. Accidentally stepping on these can grind them into the surface of your shower stall and cause permanent damage.
When you're ready to beginning installing Sheetrock, take some measurements. If you are putting Sheetrock on the ceiling above a shower, put up that piece first. Otherwise start with the back wall.
Measure the length and width of the area you're working on. Take off an eighth-inch on all measurements to assure an easy fit, as any gaps can easily be covered in the finishing process. Now measure the area out on your piece of Sheetrock, using a T-square for perfectly straight lines.
If you are using construction adhesive or caulk, apply this to any exposed 2 x 4s before putting your piece of cut sheetrock into place. If the piece fits, nail around the edges using 1¼ ring shank drywall nails. If there is nothing to nail around the edges, nail to the top and bottom of each stud with a few down the sides. Screws are optional in walls, but they should be put into center studs on ceiling pieces using a screw gun.
After you've covered all exposed 2 x 4s with Sheetrock, begin the finishing process. This means first placing non-sticky drywall tape on any seams and attaching it with joint compound using a drywall knife. Next, use the same compound to cover up nails, screws and any other physical defects on the Sheetrock.
Let the Sheetrock sit for at least 12 hours to allow the joint compound to harden. This might take longer in colder temperatures. Once it is sufficiently dry, you can sand the area using a pole sander and medium-grit sandpaper. Repeat the entire process of applying joint compound and sanding two more times, and you're ready for primer and paint.