The station marked on the Cityrail map as Shellharbour station is at Dunmore. It really looks quite in the middle of nowhere getting off the train there, with a row of houses and not much else. It is around 4km walk, with the first stretch being along the soft shoulder of Shellharbour Road. If you have a bicycle the trip it is possible to cycle, but there is a short uphill stretch on two land 80km/h road. There is no significant bus service to Shellharbour town, an occasional bus may come past to get you a little closer, but they are so infrequent, and save so little distance that it is hard to imagine a situation where it could be useful for this trip.
If you want to get the bus into town, or to Shellharbour Square, a better bet may be to get off at Oak Flats station, and get a bus. They run with around a 2 hour frequency to town, and quite frequently to Shellharbour Square. Check the timetable, and get the first bus to Shellharbour Square if it makes sense to do so. If you have a bicycle, it is also a much nicer cycle from Oak Flats into town then from Dunmore, albeit a bit further.
If you are a keen cyclist, it is also a nice ride from Wollongong mostly along the coast.
Alternatively, if you lack the enthusiasm for public transport, driving there is easy. Go past the end of the freeway from Sydney, and Shellharbour town is off to your left, follow the signs. A scenic route goes via Wollongong and Warilla, and follows the water. Exit the freeway at Five Islands Road, follow the signs to Warilla at the second major right hand turn and on to Windang Rd, then follow your nose.
