I heard this phrase in the movie "the fugitive" when the news reporter was talking about the investigations around the murder of the fugitive wife
to clarify or supply additional information about
Imagine you are in a dark room, and you need to see something. Someone in the room has a flashlight. You might say, "Shine the light over here, so I can see what I'm doing."
If there is a confusing situation, someone might "shed light on" the situation. This isn't literal light, but it's information that makes something less confusing. For example, two parents might be talking about their daughter:
I don't know why Emily has been coming home so late this week.
Yes, let's ask her about that tomorrow. Maybe she can shed some light on this.
The second parent is pretty much saying:
Yes, let's ask her about that tomorrow. Maybe she can tell us what's going on.
If you try to look this up in a dictionary by looking at the words shed and light, it will be very hard to figure out the meaning of the phrase. After all, both of those words have several meanings, so I can see why this would be confusing. I hope I've managed to shed some light on this for you.