Although your question is very confusing, I believe to have understand partially what you need.
A shared server is one that other people are sharing with you. These are usually very cheap but you don't get much control over what happens there; specifically, you usually can't install stuff or have much freedom of configuration. These servers usually offer specific services (i.e., they already have PHP and MySQL installed, but you can't run, say, Ruby). You rarely (if ever) get shell access to such servers.
Dedicated servers are the opposite. You usually have full control over the machine's configuration as it's not shared with other users, but they are often way more expensive.
The reasons for this are clear: when a server is shared it's cheaper to the provider to keep and maintain a running machine, because several clients are paying for it. If you want/need a fully dedicated machine then you can manage it, but you have to pay it yourself. In this case, if you need to install PHP modules and your provider is denying you access, you must either find a provider that does allow it or find a dedicated machine. You're out of luck on that regard.