In between each tile piece that you installed over your shower walls is an open joint that needs to be filled with grout. The grout will serve to bond each tile piece to the next and, while grout is not waterproof, it will do its best to resist moisture and encourage it run down into the shower pan. The grout that is filled into each joint is a concrete product in liquid form. An added benefit of grout is to minimize any mis-leveling that occurred during the tile installation, it will serve to even out those edges.
Cement Based Grout
A cement based grout uses a Portland cement base, manufacturer specific polymer additives and depending upon the joint width between each tile, it could contain sand. Where a joint width is 1/8 of an inch, an un-sanded grout is best, since more of the cement base and polymer additives will reside within the joint forming a tighter bond. You can expect this grout to have a runny consistency and can be applied relatively easily. If you choose to allow a joint width that is greater than 1/8 of an inch, you can use a sanded grout to better fill in the open areas and provide strength and flexibility to the tile installation.
An epoxy grout is an alternative to cement based grout but it is not a common application for non-heavily trafficked areas, such as a shower wall. Epoxy grouts have a sanded and un-sanded version, and also resists chemicals and stains, which is a disadvantage by other grout types. Extra care needs to be taken for use in joints between natural stone, a protective sealer needs to be applied prior to the application of the grout.
It is important to understand that grout is porous and will allow the entry of moisture. A protective sealant will need to be applied to the grout after it has fully cured. The sealant will then need to be allowed to cure, as per the manufacturer instructions. The most important factor to for the success of a sealant is to not run the shower or allow for moisture to come in contact with the grout inside each joint. Moisture inside the grout pores will take time to dissipate and evaporate, any application prior to this occurring could inhibit the sealants effectiveness.