Okay, a Shadow is 3HD and can be advanced to 9 HD as according to the MM.
Then we look at pg 13 of the MM under Undead. We see that a Undead gain a new feat for every 4 extra HD they have. So, the Shadow needs to be 7 HD to gain a feat.
By gaining 4 HD the shadow will gain +2BAB, +4d12 HP, +8 skill points, +1 Fort and reflex save, +2 Will save. And of course the feat. That info is from using the chart on page 13.
CR will be +2, as by the rules in the DMG