This means when the Rogue has it, he gets +2 TH.
+1 for a Dagger.
+1 for Nimble Blade.
The condition of combat advantage also yields a +2 bonus to hit. When your rogue has CA against a bad guy, if your Dex is 20, then you should have a total to-hit bonus of +12 with dexterity-based dagger attacks (+5 dex mod, +3 weapon prof, +1 dagger talent, +1 nimble blade, +2 combat advantage). As you level up, you will also add 1/2 your level to this roll, rounded down.
Do opportunity attacks come up a lot, as "Two-Weapon Flurry" seems good.
If you are fighting from melee, then they might come up from time to time. Two things to keep in mind, though: First, you can only apply sneak-attack damage once per turn, so if you hit someone with it on your last turn, then you won't be able to apply sneak attack damage to your opportunity attacks. Second, opportunity attacks are melee basic attacks, and melee basic attacks use strength for to-hit and damage. Your puny little daggers won't be doing much without sneak attach damage, especially if they're using your strength modifier for damage. Adding another puny little attack (at a serious to-hit penalty) probably won't be so useful.
Do opportunity attacks give you CA ?
You get CA for opportunity attacks the same way that you get it for any other attack. If you are flanking an enemy and he draws an opportunity attack, then you have CA. If an enemy is blinded or dazed and draws an opportunity attack, then you get CA. However, you do not gain CA just by virtue of making an opportunity attack.
Can Rogue's use Shields, I cant see detail for or against.
Rogues don't start with shield proficiency (check the armor proficiency line in the Rogue's big stat block at the beginning of its PHB section). However, there is nothing to stop you from picking up the Light Shield Proficiency feat if you have the 13 strength. However, consider the following: You can get the same defense bonuses from Two-Weapon Defense, if you want to go that route, though you will have to take Two-Weapon Fighting as a prerequisite. On the other hand, Two-Weapon Fighting will also give you another +1 to damage. (In paragon tier, though, you can grab Shield Specialization and get another +1 to AC and Ref.) Also, If you use a magical shield, you can't use magical bracers. I haven't looked, but since Rogues don't start with shield proficiency, I'm sure that there are more useful bracers out there than shields for the purposes of being a rogue.