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I don't use MenuShade, but I assume it adds itself to your Login Items (System Preferences --> Accounts). There should be a checkbox next to its listing there that allows you to hide it upon start up.
 
You guys aren't answering the question. The OP doesn't want the App's icon to show up in the dock when it runs.

I don't know how to do this, hopefully someone else does. Just thought I'd put the tread on the right track.
 
Oh yeah...duh. 😱

I'm not aware of any way to do this. It would need to be rewritten to run either as a daemon or as a menu bar item.
 
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