It's probably a good time to open up FRED, explore the events and sexps, and try some things out.
With SEXPs, a little guesswork should get you in the ballpark. You want to display the shields left for the ship targeted as a percentage. So, you need to capture which ship is being targeted and you need to capture it's shield status. Capturing the shield status of a ship and saving that to a variable is super easy. Anyone moderately familiar with FRED should be able to do that. However, capturing the shield status of the ship being targeted is a bit more difficult. I'll give you a hint, though. When-Argument is probably the best way to do it. I know there are tutorials on the FREDing board or on the Wiki about when-argument sexps.
Get that figured out and you'll end up with the shield percentage of the targeted ship as a variable. Use a trigger count to set the variable every frame. To display it, simply convert the variable to a string (there's a SEXP for that), and display it with a custom HUD gauge by using HUD-set-text. There are a few mods out that use custom HUD gauges (BtA Demo, JAD 2.21).. look at one of those to figure out how that works.
Scripting will be the more universal method, but I don't know enough LUA to help you there.