Difference between [Shared Function/Sub] V.S. [Function/Sub]

So if I am to create a class, what should I consider when deciding whether to make a method shared or not? Both ways seem to be capable of doing the same thing.

Code:

Public Class Form1

Private Sub Button1_Click(ByVal sender As System.Object, _

ByVal e As System.EventArgs) Handles Button1.Click

'shared member

txtShared.Text = SharedTest.ReturnString

'non shared member

Dim NST As New NOTSharedTest

txtNotShared.Text = NST.ReturnString

End Sub

End Class

Class SharedTest

Shared Function ReturnString() As String

Return "I am Shared"

End Function

End Class

Class NOTSharedTest

Function ReturnString() As String

Return "I am not Shared"

End Function

End Class