It's all in the help file. But basically - when tethered press command-p then take a shot with a piece of white opaque plexiglass over the lens. Save this shot with a name that records the lens and aperture then you can select this from the capture tab when shooting in the future to apply it to every subsequent shot. This is different from the 'shading mode', which is for retrospective application of shading files when shooting to CF card. That is where the shot taken with the plexiglass is organised in the contact sheet before the shots you want to apply it to, then you enter shading mode to select which files have that shading file applied to them. Great for tech cameras where lens movements or stitching can create differing colour casts. You should probably make the exposure with the plexiglass 1 or 2 stops brighter than the shot without by using the shutter speed, not aperture, so that the shading file is bright, but overexposed to the point of clipped highlights.
Ben