here's how you create the .txt file. to get super technical, it is located in your revit .ini file (Directories Settings -> ExternalParameters)
If your just getting stared with Shared Parameter text files, I'll add that you should keep the file in a shared location that everybody can access -- a give it a unique name -- not just "Shared Parameters.txt". Keep in mind , that Shared Parameters are "Shared" by virtue of their GUID -- not by their name. So, if families get created using different Shared Parameter files, they will not be sharing the same parameter -- even if it's exactly the same name.
FWIW