How to get Shadow in Hades 2
How to get Shadow for the Permeation of Witching-Wards Incantation

Incantations are how you'll unlock new things in the world — both Under- and Over- — of Hades 2. Incantations require reagents that you'll collect during your runs.
To unlock the path to the Surface, you'll need to do the Permeation of Witching-Wards Incantation. And that requires Shadow.
Where to learn Permeation of Witching-Wards

You'll pick up the Permeation of Witching-Wards Incantation immediately before a fight with Hecate where she (again) warns you not to head to the Surface — where you're clearly going.
For the Incantation, you'll need 3 Moly (flowers) collected from Erebus, 1 Cinder collected by defeating Hecate, and 1 Shadow. Shadow isn't a reagent like the others, though. It's an Alchemy.
Shadow Extraction Alchemy
You don't actually get a notification for it, but at the same time you learn the Permeation of Witching-Wards Incantation, you'll unlock your first Alchemy — and a new tab at the Crossroads Cauldron.

Shadow Extraction produces 1 Shadow and requires 30 Ash, 30 Psyche, and 3 Fate Fabric. It also takes 12 Whiles — a While is basically a room or encounter during your run. Ash is a reward you'll get from clearing rooms during runs, Psyche is what you'll get for communing with spirits (it's also what you use to increase your Grasp), and Fate Fabric is either a rare reward for some interactions or, more commonly, something you can buy from the Reagent Market in the Crossroads.