First off, don’t expect spoiler warnings here. If you don’t know the Shadows were a Vorlon organic technology experiment gone awry, don’t blame me!
I’ve been meaning to ask these for a while, what with the B5 cycling on the SciFi channel. Lorien said the shadows “almost certainly” knew he was there, so we’ll take that as given. Who was at Z’Ha’Dum (sp?) first, Lorien or the Shadows? Did Lorien always have that ship, and if so, why was he hanging out there by himself? Was Z’Ha’Dum Lorien’s home planet, or the Shadows’ home planet, or did they both just take up residence there? Did Lorien dislike the conflict between the older races, especially the Shadows and Vorlons, and just go there until the time was right (hence the “I was waiting for you to find me” quote, or however it was really said)? Otherwise, what was he doing there?
…OK, I made up that bit at the top…
Maybe nobody here knows, possibly because it was never explained, but somebody could speculate, or at least say “Yeah, I’ve wondered that too!” 
If you really want to know, you might want to check out the newsgroup rec.arts.sf.tv.babylon5.moderated . JMS himeself is a contributer there, so he might be able to answer your question.
This is off the top of my head and I could be totally wrong but… I was under the impression that both the Shadows and the Vorlons worshiped the race (Or perhaps Lorien himself) that Lorien came from. For some reason the Shadows and the Vorlons had different interpetations of the philosophy (or religion) that Lorien (or Lorien’s people) espoused.
As for why Lorien was on Zahadun I think he was indeed waiting for Sheridan.
If the above is true then I think that the Shadows probably came across Lorien (or his people) during their early travels through space. So Zahadun was probably the Shadows homeworld.
Just to clarify – both the Vorlons and the Shadows were some of the original First Ones (aside from Lorien), and neither was “created” by another. Lorien was one of the very original First Ones, if not “The First One,” which I believe he inferred once. However, he wasn’t worshipped at all. The shadows payed homage to him, but Lorien wasn’t seen as anything like a god.
In a later part of your questions, you answered one of the prior ones – Lorien was waiting for the right person to “drop in,” so to speak. Why it was at Zha’ha’dum specifically, I don’t know. The Shadows sensed Lorien’s presence, though, so they might have been drawn to what otherwise would be a normal planet.
-Psi Cop
Lorien states,
“It is distressing when ones children fight each other”
When it is communicating with Sheridan on Za’hdun after he had jumped off the tower to evade being taken by humans posessed by shadows, among whom was his former wife.
Lorien also goes on to say that the shadows stayed on Za’hdun out of respect for him/her but it is clear from the way this is put that Lorien does not like Shadows intepretation of respect.