It means remove the shower rose and cap off the outlet at the wall. But its better if you use a pressure gauge on the outlet, then turn the tap on then off. If the pressure drops straight away you have a leak.
All advice is given with-out seeing the job, and hence all advice MUST be taken as advice with limited knowledge on the exact situation. NO responsibility can or will be taken. And yes, I am a licensed plumber with my own business in Brisbane Australia
What type of leak are you trying to find? Capping the shower head will normally only test the pipe from the faucet to the shower head. That is also the easiest pipe to check without going to that trouble.