if you want to dabble with HLSL, you can try the simplest case of using shadow mapping

1. write a vertex shader that computes the depth value of each pixel from the light's point of view and store the result in a shadow map

2. write a pixel shader that uses that shadow map

based on what you described, you should know in theory how it works. the HLSL implementation is merely implmentation and should be described from some online tutorials.