Sounds like you are referring to a point-of-use on-demand water heater which comes on when water flow starts and shuts off when water flow stops.
This would be mounted in an adjacent closet and plumbed into the shower ahead of the shower valve.
This is one site for them I found on the internet with a search for point of use water heater. Try a search for that or try searching for tankless water heater. http://www.waterheater.net/products.html
Make sure they are installed according to your local plumbing code and electrical code.
I am not endorsing these water heaters as I do not like them and have never found one installed properly. I am just answering your question.