What is the EFI shell?
The EFI Shell is a "shell" (think of a command prompt or a terminal shell) that a (U)EFI BIOS can boot directly into (instead of your OS), allowing control and scripting of many items including booting scenarios.
Installing an EFI shell in an "EFI System" partition (type EF00) formatted with a VFAT file system and properly named shellx64.efi for a 64-bit system will allow you to boot directly into it from your BIOS.
See Basic Instructions for Using the Extensible Firmware Interface (EFI)] (PDF)