The speaker says that the Lord (God) is like a shepherd to him. This sets up an explicit metaphor in which humanity, or at least the community of believers, is a flock of sheep tended by God.
The role of a shepherd is to lead his sheep to green pastures, to protect them from predators, to make sure that none get lost or go astray. You could take shepherd as synonymous for "protector."
Be careful with the phrase, "I shall not want." The speaker's not saying "The Lord is my shepherd, but I don't want him."
Instead, he means that with God as his protector, he won't lack anything he needs. The word "want" means "lack."
The speaker's complete confidence in God is apparent early on. This is no crisis of faith or doubt.
It is common in the English translations of the Bible for God or Yahweh to be translated as "Lord."
Christians also call Jesus "Lord." Some Christians interpret the Lord mentioned here as Jesus, though according to Christian doctrine, God and Jesus (and the Holy Spirit) are one and the same, part of the Holy Trinity.