First, I haven't used Dark Basic Pro in what must be ages, so bare with me.
In order to load a shader, you would use the following code:
load effect "Bleh.fx",1,1
set object effect 1,1
Where "Bleh.fx" is the shader you want to load, and then you apply it to the object you want.
What you are looking for, to make the shading of your Stickman smoother, doesn't necessarily require shaders; if you had more polygons in the sphere for his head you would get better shading, and chances are you wouldn't have as bad of a performance hit as if you had used a shader (albiet, depending on the shader, the hit would be barely noticable on newer systems).
However, if you are looking on using shaders properly, I would suggest reading
The Ultimate Shader Thread 2.0. Inside is documentation on how to use a shader properly, links to example shaders, etc, etc.
Hope that helps.
AMD64 X2 3800+ | 1 GB Ram | NVIDIA GeForce 6800 128MB
MSVC++ .Net 2003 | Wings3D | CharacterFX | Gimp v2.0
Formerly NWC_Omega