Generally speaking, a baby shower is held during the last month or two of pregnancy. Registering for your baby shower should probably occur as soon as a date is picked. The earlier that you register for your baby shower, the earlier that your guests can begin to pick out gifts.
You should, of course, talk to the person who is planning your baby shower about registering for your baby shower. It may be that she has something specific in mind, in terms of what kinds of things that you should ask for, or where your should register, or if she has a different type of gift in mind, as opposed to something for which you would have to register.
The types of things that you will register for your baby shower will depend a lot on your particular situation. If this is your first child, you will want to make sure that you are registering for the basics. Make sure that you have enough practical items, such as bottles, binkys, onesies and other items. You will also want to be very specific if you register for larger items such as a crib, a baby car seat, a changing table, or baby carrier. You should do some consumer research ahead of time to make sure that the items you are considering have had good reviews, and that none of them are in a state of recall due to safety issues. Generally, however, this will not be an issue, since once a recall is announced the retailers will remove the items from their registry.
In some families, whether it is for cultural reasons or it is just tradition, the baby shower might not be held until after your baby is born. In this case, you will obviously be able to register later. If this is the case, you will also pick different items for your baby shower registry, as many of the necessary items you will have already acquired. Here again, check with whoever is planning your shower to be sure that you register well in advance.